Principaux centres d'intérêt

- mouvement brownien, fonctionnelles exponentielles du mouvement brownien
- calcul stochastique
- calcul de Malliavin
- équations aux dérivées partielles stochastiques
- matrices aléatoires, probabilités libres

Publications récentes

1. Donati-Martin, C.; Yor, M.
   Intégrales stochastiques de processus anticipants et projections duales prévisibles.
   Publicaciones Matematiques, Vol. 43, pp. 281-301 (1999).
   
2. Donati-Martin, C.; Yor, M.
   Some measure valued Markov processes attached to occupation times of Brownian motion.
   Bernoulli, Vol. 6, pp. 63-72 (2000).
   
3. Donati-Martin, C.; Shi, Z.; Yor,M.
   The joint law of the last zeros of Brownian motion and of its Lévy transform
   Ergodic theory and Dynamical systems, Vol. 20, pp. 709-725 (2000).
   
4. Donati-Martin, C.; Ghomrasni, R.; Yor, M.
   Affine random equations and the stable (1/2) distribution
   Studia Scientarium Mathematicarum Hungarica 36, pp. 387-405 (2000).
   
5. Donati-Martin, C.; Ghomrasni, R.; Yor, M.
   On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options.
   Revista Matematica Iberoamericana, Vol. 17, pp. 179-193 (2001).
   
6. Donati-Martin, C.; Matsumoto, H.; Yor, M.
   On positive and negative moments of the integral of geometric Brownian motions.
   Stat. Prob. Letters, Vol. 49, pp. 45-52 (2000)
   
7. Donati-Martin, C.; Matsumoto, H.; Yor, M.
   On striking identities about exponential functionals of the Brownian bridge and Brownian motion.
   Periodica Math. Hung., Vol.41 (1-2), pp. 103-119 (2000).
8. Donati-Martin, C.
   Some remarks about an identity in law for the Bessel bridge.
   Studia Scientarium Mathematicarum Hungarica 37, pp. 131-144 (2001).
   
9. Capitaine, M.; Donati-Martin, C.
   The Lévy area process for the free Brownian motion.
   Journal of Functional Analysis 179, pp. 153-169 (2001).
   
10. Donati-Martin, C.; Matsumoto, H.; Yor, M.
    The law of geometric Brownian motion, and its integral, revisited; application to conditional moments.
    in: Mathematical Finance, Bachelier congress 2000, Springer Verlag, Berlin (2002)
    
11. Donati-Martin, C.; Matsumoto, H.; Yor, M.
    Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
    Publ. RIMS Kyoto Univ.37, pp. 295-326 (2001)
    
12. Donati-Martin, C.; Hu, Y.
    Penalisation of the Wiener measure and principal values.
    Séminaire de Probabilités, Lectures Notes in Mathematics, Vol. 1801, pp. 251-269, Springer (2003).
    
13. Donati-Martin, C.
    Stochastic integration with respect to q-Brownian motion.
    Probability Theory and Related fields 125, pp 77-95 (2003).
    
14. Donati-Martin, C., Rouault, A., Yor, M. and Zani, M.
    Large deviations for the squares of Bessel and Ornstein-Uhlenbeck processes.
    Prob. Theory and Rel. Fields 129, pp. 261-289 (2004).
    
15. Donati-Martin, C., Doumerc, Y., Matsumoto, H. and Yor, M.
    Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws.
    Publ. RIMS Kyoto Univ. 40, pp. 1385-1412 (2004)
    
16. Capitaine, M., Donati-Martin, C.
    Free Wishart processes.
    Journal of Theoretical Probability 18, pp. 413-438 (2005).
    
17. Donati-Martin, C. and Yor, M.
    Some explicit Krein representations of certain subordinators, including the Gamma process.
    Publ. RIMS Kyoto Univ. 42, pp 879-895 (2006)
    
18. Donati-Martin, C. and Yor, M.
    Further examples of explicit Krein representations of certain subordinators
    Publ. RIMS Kyoto Univ. 43, pp 315-328 (2007)
    
19. Capitaine, M. and Donati-Martin, C.
    Strong asymptotic freeness for Wigner and Wishart matrices.
    Indiana Univ. Math. J. 56, pp 767--804 (2007) .
    
20. Donati-Martin, C., Roynette, B., Vallois, P. and Yor, M.
    On constants related to the choice of the local time at 0, and the corresponding Ito measure for Bessel processes.
    Studia Sci. Math. Hungarica (2007).
    

Prépublications

1. Donati-Martin, C.
   Large deviations for Wishart processes
   
2. Capitaine, M., Donati-Martin, C. and Féral, D.
   The largest eigenvalue of finite rank deformation of large Wigner matrices: convergence and non-universality of the fluctuations