Welcome to Miguel Martinez's home page !
Contact
Current situation
I am Maitre de Conference at the University Paris-Est Marne-la-Vallee since september 2007.
Publications
- Denis, Christophe ; Dion, Charlotte ; Martinez, Miguel
Consistent procedures for multiclass classification of diffusion paths
Scand. J. Statist. (2019) 1-39
- Gloter, Arnaud ; Martinez, Miguel
Bouncing Skew Brownian Motions
J. Theoret. Probab. 31 (2018), no. 1, 319-363
- Etore, Pierre ; Martinez, Miguel
Time inhomogeneous Stochastic Differential Equations invloving the local time of the unknown process, and associated parabolic operators
Stochastic Processes and their Applications, published online in October 2017
- Goreac, Dan ; Kobylanski, Magdalena ; Martinez, Miguel
A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks
Appl. Math. Optim. 74 (2016), no. 2, 375-421.
- Goreac, Dan ; Martinez, Miguel
Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes
Math. Control Signals Systems 27 (2015), no. 4, 551-578.
- Etore, Pierre ; Martinez, Miguel
Exact simulation for solutions of one-dimensional stochastic differential equations with discontinuous drift
ESAIM P&S, October 2014, Vol. 18, pp 686-702
- Etore, Pierre ; Martinez, Miguel
Exact simulation of one-dimensional stochastic differential involving the local time of the unknown process
Monte-Carlo Methods and Applications, Vol 19(1) pp. 41-71 (2013)
- Gloter, Arnaud; Martinez, Miguel
Distance between two skew Brownian motions as a SDE with jumps and law of the hitting time
Annals of Probability, (2012)
- Etore, Pierre; Martinez, Miguel
On the existence of a time inhomogeneous skew Brownian motion and some related laws
Electronic Journal of Probability, (2012)
- 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)
- Martinez, Miguel; San Martin, Jaime; Torres, Soledad
Numerical method for Reflected Backward
Stochastic Differential Equations
Stochastic Analysis and Applications (2011)
- Bardou, Olivier; Martinez, Miguel
Statistical estimation for reflected skew processes
Stat. Inference Stoch. Processes 13, (2010), 231:248
- Bernardin, Frederic; 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
- Martinez, Miguel; Rubenthaler, Sylvain; Tanre, 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
- Fontbona, Joaquin; Martinez, Miguel
Paths clustering and an existence result for stochastic vortex systems
J. Stat. Phys. 128 (2007), no. 3, 699--719
- Lejay, Antoine; Martinez, Miguel
A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
Ann. Appl. Probab. 16 (2006), no. 1, 107--139
- Martinez, Miguel; Talay, Denis
Discretisation d'equations differentielles
stochastiques unidimensionnelles et generateur sous forme divergence avec
coefficient discontinu
C.R. Math. Acad. Sci. Paris 342 (2006), no. 1, 51-56
With J.P. Lepeltier : unpublished note
Dynkin games and RBSDEs (available on demand)
PhD
Working group ASPro
Together with P.M. Samson and M. Hebiri, I am an organizer of the working
group
groupe de travail probabilites, 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.