Thanks titus for your answer. This should be the answer. You're right, the missing .dll is located there:
C:\Program Files (x86)\MATLAB\MATLAB Compiler Runtime\v715\runtime\win32
I added the following line in my Java code:
java.lang.System.load("C:\\Program Files (x86)\\MATLAB\\MATLAB Compiler Runtime\\v715\\runtime\\win32\\mclmcrrt7_15.dll");
Now, the Java program générâtes an error because the .dll file is a 32bits dll and not a 64bits dll:
Exception in thread "main" java.lang.UnsatisfiedLinkError: C:\Program Files (x86)\MATLAB\MATLAB Compiler Runtime\v715\runtime\win32\mclmcrrt7_15.dll: Can't load IA 32-bit .dll on a AMD 64-bit platform
It's right, the host machine has a 64bits OS. It seems that when I run the executable outside Java, the dll which is called is not the same as when I run it with Java, rigth?