Welcome to Miguel Martinez's home page !

Contact

miguel.martinez@univ-mlv.fr


Mail Adress:
Laboratoire d'Analyse et de Mathématiques Appliquées (LAMA)
UMR 8050
Université de Marne-la-Vallée
5, boulevard Descartes
Cité Descartes - Champs-sur-Marne
77454 Marne-la-Vallée cedex 2
France
Phone: +33 (0) 1 60 95 75 25


How differentiation was born...
(drawing by Quino)

Current situation

I am Maître de Conférence at the University Paris-Est Marne-la-Vallée since september 2007.

Publications

1. Gloter, Arnaud; Martinez, Miguel
   Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time
   To appear in the Annals of Probability, (2012)


2. Etoré, Pierre; Martinez, Miguel
   On the existence of a time inhomogeneous skew Brownian motion and some related laws
   Electronic Journal of Probability, (2012)


3. Martinez, Miguel; Talay, Denis
   One-Dimensional Parabolic Diffraction Equations: Pointwise Estimates and Discretization of Related Stochastic Differential Equations With Weighted Local Times
   Electronic Journal of Probability, (2012)


4. Martinez, Miguel; San Martin, Jaime; Torres, Soledad
   Numerical method for Reflected Backward Stochastic Differential Equations
   Stochastic Analysis and Applications (2011)


5. Bardou, Olivier; Martinez, Miguel
   Statistical estimation for reflected skew processes
   Stat. Inference Stoch. Processes 13, (2010), 231:248


6. Bernardin, Frédéric; Bossy, Mireille; Martinez, Miguel; Talay, Denis
   On mean discounted numbers of passage times in small balls of Ito processes observed at discrete times
   Elec. Comm. Prob. 14, (2009), 302-316


7. Martinez, Miguel; Rubenthaler, Sylvain; Tanré, Etienne
   Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance
   Stochastic Analysis and Applications vol. 27, (2009), no. 2, 270-296
   


8. Fontbona, Joaquin; Martinez, Miguel
   Paths clustering and an existence result for stochastic vortex systems
   J. Stat. Phys. 128 (2007), no. 3, 699--719
   


9. Lejay, Antoine; Martinez, Miguel
   A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
   Ann. Appl. Probab. 16 (2006), no. 1, 107--139
   


10. Martinez, Miguel; Talay, Denis
    Discrétisation d'équations différentielles stochastiques unidimensionnelles à générateur sous forme divergence avec coefficient discontinu
    C.R. Math. Acad. Sci. Paris 342 (2006), no. 1, 51-56
    

Preprints

1. Etoré, Pierre; Martinez, Miguel
   Exact Simulation of One-dimensional Stochastic Differential Equations involving the local time at zero of the unknown process
   Submitted

With J.P. Lepeltier : unpublished note Dynkin games and RBSDEs (available on demand)

PhD

My PhD supervisor was Pr. Denis TALAY.

I have defended my PhD on the 18th of May 2007 in front of the following jury:


Denis Talay, Director of Research of the TOSCA research team, Professor at the Ecole Polytechnique, France. PhD supervisor.
Alexander Veretennikov, Professor at the University of Leeds, Great Britain. Referee.
Dominique Lépingle, Professor at the University of Orléans, France. Referee.
Gilles Pagès, Professeur at University of Paris 6, Pierre et Marie Curie. President.
Etienne Pardoux, Professor at University of Provence, France. Member.


My PhD manuscript is available here.

Working group ASPro

Together with P.M. Samson and G. Lecué, I am an organizer of the working group groupe de travail probabilités, statistiques et applications (ASPRo) which takes place (almost) every tuesday mornings at the UPMLV. Please send me an e-mail if you wish to receive the invitations of this working group.