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Donati-Martin, Catherine

Author ID: donati-martin.catherine Recent zbMATH articles by "Donati-Martin, Catherine"
Published as: Donati-Martin, Catherine; Donati-Martin, C.
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

42 Publications have been cited 478 times in 383 Documents Cited by Year
White noise driven SPDEs with reflection. Zbl 0794.60059
Donati-Martin, C.; Pardoux, E.
82
1993
The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations. Zbl 1163.15026
Capitaine, Mireille; Donati-Martin, Catherine; Féral, Delphine
82
2009
Central limit theorems for eigenvalues of deformations of Wigner matrices. Zbl 1237.60007
Capitaine, M.; Donati-Martin, C.; Féral, D.
34
2012
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073
Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc
33
2001
Free convolution with a semicircular distribution and eigenvalues of spiked deformations of Wigner matrices. Zbl 1245.15037
Capitaine, Mireille; Donati-Martin, Catherine; Féral, Delphine; Février, Maxime
29
2011
Strong asymptotic freeness for Wigner and Wishart matrices. Zbl 1162.15013
Capitaine, M.; Donati-Martin, C.
28
2007
Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws. Zbl 1076.60067
Donati-Martin, Catherine; Doumerc, Yan; Matsumoto, Hiroyuki; Yor, Marc
28
2004
Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074
Donati-Martin, C.; Yor, M.
26
1991
Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017
Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M.
19
2004
Stochastic integration with respect to \(q\) Brownian motion. Zbl 1033.60066
Donati-Martin, C.
16
2003
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\). Zbl 1212.60070
Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc
14
2008
Some Brownian functionals and their laws. Zbl 0885.60072
Donati-Martin, C.; Yor, M.
13
1997
Equations différentielles stochastiques dans \(\mathbb{R}\) avec conditions aux bords. (Stochastic differential equations on \(\mathbb{R}\) with boundary conditions). Zbl 0737.60050
Donati-Martin, Catherine
12
1991
On positive and negative moments of the integral of geometric Brownian motions. Zbl 0974.60069
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
11
2000
Spectrum of deformed random matrices and free probability. Zbl 1417.60007
Capitaine, Mireille; Donati-Martin, Catherine
10
2017
Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. Zbl 1033.60085
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
9
2001
Stochastic partial differential equations with reflection and Malliavin calculus. (EPDS réfléchies et calcul de Malliavin.) Zbl 0884.60049
Donati-Martin, C.; Pardoux, E.
9
1997
The law of geometric Brownian motion and its integral, revisited; application to conditional moments. Zbl 1030.91029
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
8
2002
Free Wishart processes. Zbl 1084.46051
Capitaine, M.; Donati-Martin, C.
8
2005
On striking identities about the exponential functionals of the Brownian bridge and Brownian motion. Zbl 1062.60080
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
8
2000
Some explicit Krein representations of certain subordinators, including the gamma process. Zbl 1123.60028
Donati-Martin, Catherine; Yor, Marc
7
2006
Markov property for elliptic stochastic partial differential equations. Zbl 0824.60053
Donati-Martin, C.; Nualart, D.
7
1994
The Lévy area process for the free Brownian motion. Zbl 0979.60044
Capitaine, M.; Donati-Martin, C.
7
2001
Quasi-linear elliptic stochastic partial differential equation: Markov property. Zbl 0767.60051
Donati-Martin, Catherine
6
1992
Large deviations for Wishart processes. Zbl 1158.60331
Donati-Martin, Catherine
6
2008
Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042
Donati-Martin, Catherine; Yor, Marc
4
2007
A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039
Baker, David; Donati-Martin, Catherine; Yor, Marc
4
2011
On some examples of quadratic functionals of Brownian motion. Zbl 0781.60066
Donati-Martin, C.; Yor, M.
3
1993
Le problème de Buffon-Synge pour une corde. (The Buffon-Synge problem for a string). Zbl 0701.60009
Donati-Martin, C.
3
1990
Large deviations for the largest eigenvalue of an Hermitian Brownian motion. Zbl 1277.60054
Donati-Martin, C.; Maïda, M.
3
2012
Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution. Zbl 0980.60023
Donati-Martin, C.; Ghomrasni, R.; Yor, M.
3
2000
Convergence to equilibrium in the free Fokker-Planck equation with a double-well potential. Zbl 1406.35410
Donati-Martin, Catherine; Groux, Benjamin; Maïda, Mylène
3
2018
A remarkable inequality for normalised Brownian excursion. (Une identité en loi remarquable pour l’excursion brownienne normalisée.) Zbl 0916.60072
Alili, Larbi; Donati-Martin, Catherine; Yor, Marc
3
1997
Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices. Zbl 1456.15033
Capitaine, Mireille; Donati-Martin, Catherine
3
2021
Symmetric stable processes, Fubini’s theorem, and some extensions of the Ciesielski-Taylor identities in law. Zbl 0831.60049
Donati-Martin, C.; Song, S.; Yor, M.
2
1994
Markov property of stationary, discrete, quasi-linear equations. (Propriété de Markov des équations stationnaires discrètes quasi- linéaires.) Zbl 0788.60080
Donati-Martin, C.
2
1993
Brownian motion and Hardy’s inequality in \(L^ 2\). (Mouvement brownien et inégalité de Hardy dans \(L^ 2\).) Zbl 0739.60073
Donati-Martin, C.; Yor, M.
2
1989
Advanced topics in random matrices. Zbl 1388.60010
2
2017
Extension of a formula of Paul Lévy for the quadratic variation of the planar Brownian motion. (Extension d’une formule de Paul Lévy pour la variation quadratique du mouvement brownien plan.) Zbl 0763.60036
Donati-Martin, C.; Yor, M.
1
1992
On symmetric stable random variables and matrix transposition. Zbl 0856.60020
Donati-Martin, Catherine; Song, Shiqi; Yor, Marc
1
1994
Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\). Zbl 0980.60102
Donati-Martin, C.
1
2001
Transformation de Fourier et temps d’occupation browniens. (Fourier transform and Brownian occupation times). Zbl 0674.60075
Donati-Martin, Cathérine
1
1989
Non universality of fluctuations of outlier eigenvectors for block diagonal deformations of Wigner matrices. Zbl 1456.15033
Capitaine, Mireille; Donati-Martin, Catherine
3
2021
Convergence to equilibrium in the free Fokker-Planck equation with a double-well potential. Zbl 1406.35410
Donati-Martin, Catherine; Groux, Benjamin; Maïda, Mylène
3
2018
Spectrum of deformed random matrices and free probability. Zbl 1417.60007
Capitaine, Mireille; Donati-Martin, Catherine
10
2017
Advanced topics in random matrices. Zbl 1388.60010
2
2017
Central limit theorems for eigenvalues of deformations of Wigner matrices. Zbl 1237.60007
Capitaine, M.; Donati-Martin, C.; Féral, D.
34
2012
Large deviations for the largest eigenvalue of an Hermitian Brownian motion. Zbl 1277.60054
Donati-Martin, C.; Maïda, M.
3
2012
Free convolution with a semicircular distribution and eigenvalues of spiked deformations of Wigner matrices. Zbl 1245.15037
Capitaine, Mireille; Donati-Martin, Catherine; Féral, Delphine; Février, Maxime
29
2011
A sequence of Albin type continuous martingales with Brownian marginals and scaling. Zbl 1216.60039
Baker, David; Donati-Martin, Catherine; Yor, Marc
4
2011
The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations. Zbl 1163.15026
Capitaine, Mireille; Donati-Martin, Catherine; Féral, Delphine
82
2009
On constants related to the choice of the local time at \(0\), and the corresponding Itô measure for Bessel processes with dimension \(d=2(1-\alpha), 0<\alpha<1\). Zbl 1212.60070
Donati-Martin, Catherine; Roynette, Bernard; Vallois, Pierre; Yor, Marc
14
2008
Large deviations for Wishart processes. Zbl 1158.60331
Donati-Martin, Catherine
6
2008
Strong asymptotic freeness for Wigner and Wishart matrices. Zbl 1162.15013
Capitaine, M.; Donati-Martin, C.
28
2007
Further examples of explicit Krein representations of certain subordinators. Zbl 1129.60042
Donati-Martin, Catherine; Yor, Marc
4
2007
Some explicit Krein representations of certain subordinators, including the gamma process. Zbl 1123.60028
Donati-Martin, Catherine; Yor, Marc
7
2006
Free Wishart processes. Zbl 1084.46051
Capitaine, M.; Donati-Martin, C.
8
2005
Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws. Zbl 1076.60067
Donati-Martin, Catherine; Doumerc, Yan; Matsumoto, Hiroyuki; Yor, Marc
28
2004
Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes. Zbl 1055.60017
Donati-Martin, C.; Rouault, A.; Yor, M.; Zani, M.
19
2004
Stochastic integration with respect to \(q\) Brownian motion. Zbl 1033.60066
Donati-Martin, C.
16
2003
The law of geometric Brownian motion and its integral, revisited; application to conditional moments. Zbl 1030.91029
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
8
2002
On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options. Zbl 0979.60073
Donati-Martin, Catherine; Ghomrasni, Raouf; Yor, Marc
33
2001
Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. Zbl 1033.60085
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
9
2001
The Lévy area process for the free Brownian motion. Zbl 0979.60044
Capitaine, M.; Donati-Martin, C.
7
2001
Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\). Zbl 0980.60102
Donati-Martin, C.
1
2001
On positive and negative moments of the integral of geometric Brownian motions. Zbl 0974.60069
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
11
2000
On striking identities about the exponential functionals of the Brownian bridge and Brownian motion. Zbl 1062.60080
Donati-Martin, Catherine; Matsumoto, Hiroyuki; Yor, Marc
8
2000
Affine random equations and the stable \(\left( {1 \over 2} \right)\) distribution. Zbl 0980.60023
Donati-Martin, C.; Ghomrasni, R.; Yor, M.
3
2000
Some Brownian functionals and their laws. Zbl 0885.60072
Donati-Martin, C.; Yor, M.
13
1997
Stochastic partial differential equations with reflection and Malliavin calculus. (EPDS réfléchies et calcul de Malliavin.) Zbl 0884.60049
Donati-Martin, C.; Pardoux, E.
9
1997
A remarkable inequality for normalised Brownian excursion. (Une identité en loi remarquable pour l’excursion brownienne normalisée.) Zbl 0916.60072
Alili, Larbi; Donati-Martin, Catherine; Yor, Marc
3
1997
Markov property for elliptic stochastic partial differential equations. Zbl 0824.60053
Donati-Martin, C.; Nualart, D.
7
1994
Symmetric stable processes, Fubini’s theorem, and some extensions of the Ciesielski-Taylor identities in law. Zbl 0831.60049
Donati-Martin, C.; Song, S.; Yor, M.
2
1994
On symmetric stable random variables and matrix transposition. Zbl 0856.60020
Donati-Martin, Catherine; Song, Shiqi; Yor, Marc
1
1994
White noise driven SPDEs with reflection. Zbl 0794.60059
Donati-Martin, C.; Pardoux, E.
82
1993
On some examples of quadratic functionals of Brownian motion. Zbl 0781.60066
Donati-Martin, C.; Yor, M.
3
1993
Markov property of stationary, discrete, quasi-linear equations. (Propriété de Markov des équations stationnaires discrètes quasi- linéaires.) Zbl 0788.60080
Donati-Martin, C.
2
1993
Quasi-linear elliptic stochastic partial differential equation: Markov property. Zbl 0767.60051
Donati-Martin, Catherine
6
1992
Extension of a formula of Paul Lévy for the quadratic variation of the planar Brownian motion. (Extension d’une formule de Paul Lévy pour la variation quadratique du mouvement brownien plan.) Zbl 0763.60036
Donati-Martin, C.; Yor, M.
1
1992
Fubini’s theorem for double Wiener integrals and the variance of the Brownian path. Zbl 0738.60074
Donati-Martin, C.; Yor, M.
26
1991
Equations différentielles stochastiques dans \(\mathbb{R}\) avec conditions aux bords. (Stochastic differential equations on \(\mathbb{R}\) with boundary conditions). Zbl 0737.60050
Donati-Martin, Catherine
12
1991
Le problème de Buffon-Synge pour une corde. (The Buffon-Synge problem for a string). Zbl 0701.60009
Donati-Martin, C.
3
1990
Brownian motion and Hardy’s inequality in \(L^ 2\). (Mouvement brownien et inégalité de Hardy dans \(L^ 2\).) Zbl 0739.60073
Donati-Martin, C.; Yor, M.
2
1989
Transformation de Fourier et temps d’occupation browniens. (Fourier transform and Brownian occupation times). Zbl 0674.60075
Donati-Martin, Cathérine
1
1989
all top 5

Cited by 515 Authors

20 Yor, Marc
16 Zhang, Tusheng S.
9 Capitaine, Mireille
7 Donati-Martin, Catherine
7 Zhang, Jing
6 Jakubowski, Jacek
6 Lee, Ji Oon
6 Loubaton, Philippe
6 Małecki, Jacek
6 Matoussi, Anis
6 Najim, Jamal
6 Wiśniewolski, Maciej
5 Benaych-Georges, Florent
5 Nazarov, Alexander I.
5 Nikitin, Yakov Yur’evich
5 Pirjol, Dan
5 Xie, Bin
5 Yang, Juan
5 Yang, Xue
4 Bao, Zhigang
4 Denis, Laurent
4 Ding, Xiucai
4 Graczyk, Piotr
4 Gyöngy, István
4 Kalsi, Jasdeep
4 Khoshnevisan, Davar
4 Mayerhofer, Eberhard
4 Polunchenko, Aleksey S.
4 Renfrew, David
4 Soshnikov, Alexander B.
4 Wein, Alexander S.
4 Yao, Jianfeng
3 Avena, Luca
3 Baik, Jinho
3 Bandeira, Afonso S.
3 Castell, Fabienne
3 Cerrai, Sandra
3 Dean, David S.
3 Deheuvels, Paul
3 Erdős, László
3 Fan, Zhou
3 Gaudilliere, Alexandre
3 Guionnet, Alice
3 Hambly, Ben M.
3 Hariya, Yuu
3 Jagannath, Aukosh
3 Knowles, Antti
3 Matsumoto, Hiroyuki
3 Mélot, Clothilde
3 Roynette, Bernard
3 Stelzer, Robert
3 Voit, Michael
3 Wang, Yongjin
3 Yin, Jun
3 Zhai, Jianliang
3 Zhu, Lingjiong
2 Aledawish, Saliha
2 Ammari, Habib
2 Arizmendi, Octavio
2 Barraquand, Guillaume
2 Baudoin, Fabrice
2 Beiglböck, Mathias
2 Ben Arous, Gérard
2 Bertoin, Jean
2 Brzeźniak, Zdzisław
2 Byczkowski, Tomasz
2 Chafaï, Djalil
2 Chen, Wei-Kuo
2 Chou, Ching-Sung
2 Clenet, Maxime
2 Corwin, Ivan Z.
2 Couillet, Romain
2 Da Fonseca, José
2 Dalang, Robert C.
2 Demni, Nizar
2 Dong, Yuchao
2 El Alaoui, Ahmed
2 Erraoui, Mohamed
2 Fan, Jianqing
2 Feng, Runhuan
2 Féral, Delphine
2 Foondun, Mohammud
2 Fournier, Nicolas
2 Garnier, Josselin
2 Gheissari, Reza
2 Grasselli, Martino
2 Hachem, Walid
2 Hirsch, Francis
2 Hobson, David Graham
2 Iksanov, Aleksander M.
2 Jansons, Kalvis M.
2 Kargin, Vladislav
2 Kavallaris, Nikos Ioannis
2 Krüger, Torben
2 Li, Ruinan
2 Li, Songzi
2 Li, Wenbo V.
2 Li, Xiang-Dong
2 Ling, Shuyang
2 Luo, Qi
...and 415 more Authors
all top 5

Cited in 123 Serials

37 Stochastic Processes and their Applications
20 Probability Theory and Related Fields
18 The Annals of Probability
16 Journal of Theoretical Probability
14 Bernoulli
13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
13 Random Matrices: Theory and Applications
12 Statistics & Probability Letters
11 The Annals of Statistics
10 Journal of Statistical Physics
8 Stochastic Analysis and Applications
6 Journal of Functional Analysis
6 Electronic Journal of Probability
5 Journal of Mathematical Analysis and Applications
5 Journal of Applied Probability
5 The Annals of Applied Probability
5 Potential Analysis
5 Stochastics and Dynamics
5 Journal of Physics A: Mathematical and Theoretical
4 Communications on Pure and Applied Mathematics
4 Journal of Mathematical Physics
4 Journal of Differential Equations
4 Journal of Multivariate Analysis
4 Transactions of the American Mathematical Society
4 Finance and Stochastics
4 Quantitative Finance
4 Stochastic and Partial Differential Equations. Analysis and Computations
3 Advances in Applied Probability
3 Mathematical Methods in the Applied Sciences
3 Publications of the Research Institute for Mathematical Sciences, Kyoto University
3 Insurance Mathematics & Economics
3 Journal of Mathematical Sciences (New York)
3 Infinite Dimensional Analysis, Quantum Probability and Related Topics
2 Communications in Mathematical Physics
2 Lithuanian Mathematical Journal
2 Nonlinearity
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Stochastics and Stochastics Reports
2 Applied and Computational Harmonic Analysis
2 Applied Mathematical Finance
2 Mathematical Finance
2 Methodology and Computing in Applied Probability
2 Annales Henri Poincaré
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Stochastics
2 SIGMA. Symmetry, Integrability and Geometry: Methods and Applications
2 ALEA. Latin American Journal of Probability and Mathematical Statistics
2 Frontiers of Mathematics in China
2 Electronic Journal of Statistics
2 Science China. Mathematics
1 Computers & Mathematics with Applications
1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV)
1 Journal of the Franklin Institute
1 Journal of Mathematical Biology
1 Periodica Mathematica Hungarica
1 Studia Mathematica
1 Theory of Probability and its Applications
1 Advances in Mathematics
1 Annales de l’Institut Fourier
1 Annali di Matematica Pura ed Applicata. Serie Quarta
1 Applied Mathematics and Optimization
1 Indiana University Mathematics Journal
1 Inventiones Mathematicae
1 Journal of the American Statistical Association
1 Journal of Approximation Theory
1 Journal of Combinatorial Theory. Series A
1 Journal of the Mathematical Society of Japan
1 Journal of Statistical Planning and Inference
1 Mathematische Annalen
1 Mathematische Nachrichten
1 Proceedings of the American Mathematical Society
1 Studies in Applied Mathematics
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Physica D
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 Revista Matemática Iberoamericana
1 Annals of Operations Research
1 Random Structures & Algorithms
1 Communications in Statistics. Simulation and Computation
1 Communications in Statistics. Theory and Methods
1 European Journal of Operational Research
1 SIAM Journal on Mathematical Analysis
1 Bulletin of the American Mathematical Society. New Series
1 Expositiones Mathematicae
1 Mathematical Programming. Series A. Series B
1 Journal of Dynamics and Differential Equations
1 SIAM Journal on Optimization
1 Annales de la Faculté des Sciences de Toulouse. Mathématiques. Série VI
1 Statistical Papers
1 Annales Mathématiques Blaise Pascal
1 Journal of the Egyptian Mathematical Society
1 Integral Transforms and Special Functions
1 Electronic Communications in Probability
1 Discrete and Continuous Dynamical Systems
1 Documenta Mathematica
1 Abstract and Applied Analysis
1 Mathematical Physics, Analysis and Geometry
1 International Journal of Theoretical and Applied Finance
...and 23 more Serials
all top 5

Cited in 41 Fields

332 Probability theory and stochastic processes (60-XX)
83 Linear and multilinear algebra; matrix theory (15-XX)
65 Partial differential equations (35-XX)
56 Statistics (62-XX)
33 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
30 Functional analysis (46-XX)
28 Statistical mechanics, structure of matter (82-XX)
19 Operator theory (47-XX)
12 Combinatorics (05-XX)
11 Numerical analysis (65-XX)
10 Potential theory (31-XX)
9 Ordinary differential equations (34-XX)
8 Special functions (33-XX)
8 Dynamical systems and ergodic theory (37-XX)
7 Computer science (68-XX)
7 Quantum theory (81-XX)
7 Information and communication theory, circuits (94-XX)
6 Systems theory; control (93-XX)
5 Integral transforms, operational calculus (44-XX)
5 Global analysis, analysis on manifolds (58-XX)
5 Fluid mechanics (76-XX)
5 Operations research, mathematical programming (90-XX)
3 Functions of a complex variable (30-XX)
3 Biology and other natural sciences (92-XX)
2 Topological groups, Lie groups (22-XX)
2 Measure and integration (28-XX)
2 Harmonic analysis on Euclidean spaces (42-XX)
1 General and overarching topics; collections (00-XX)
1 General algebraic systems (08-XX)
1 Number theory (11-XX)
1 Algebraic geometry (14-XX)
1 Associative rings and algebras (16-XX)
1 Category theory; homological algebra (18-XX)
1 Approximations and expansions (41-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral equations (45-XX)
1 Differential geometry (53-XX)
1 Mechanics of particles and systems (70-XX)
1 Classical thermodynamics, heat transfer (80-XX)
1 Relativity and gravitational theory (83-XX)
1 Astronomy and astrophysics (85-XX)

Citations by Year