Rare earth or transition metals doped materials have numerous applications in our day life (TV screens, solid lasers, scintillators …) thanks to their efficient and robust luminescence properties. In the recent year growing interest has focused on the changes in their optical properties with size of the host particle. In the case of many semi-conductors, the intrinsic luminescence is blue shifted when the size decreases. But, the size effect is not so clear with traditional doped insulators. In this case the dopant has an "atomic" character and does not "feel" so much the size of the host. We have elaborated this kind of materials for the first time by using laser pyrolysis. This technique, based on the decomposition of a liquid or gaseous precursor by a powerful CO2 laser, allows the production of weighable amount of powders with very high purity. In the present work, yttrium and lanthanum nitrates, as well as several rare earth nitrates were dissolved in water and then carried as an aerosol by an argon flow to the reaction zone. A weak flow of ethylene was added as a sensitizer gas to absorb the laser emission. Many different compositions have been achieved from La2O3: Bi to Y2O3:Ce. Our aim is to check how some optical properties like autoionization processes or thermal quenching processes are modified by the size of the particle. The latest development on this subject will be presented at the conference. Comparisons with bulk materials are presented and the observed differences are discussed.