find maximun in a list of lists

You did not specify a casee for Max_List <= Value. But you do not need to branch for the two cases. Prolog’s is/2 [swi-doc] can evaluate an expression with max(…, …)`, indeed:

?- M is max(1,2).
M = 2.

We thus can calculate the maximum of the Max_list and Value:

matrix_max([], Max, Max).
matrix_max([Head | Rest], Value, Max) :-
    my_max(Head, Max_List), 
    MaxCur is max(Max_List, Value),
    matrix_max(Rest, MaxCur, Max).

The matrix_max/2 predicate can not use 0 as initial accumulator, since the values can all be smaller than zero. You should first call my_max/2 on the first row:

matrix_max([Head | Rest], Max) :-
    my_max(Head, M),
    matrix_max(Rest, M, Max).

You furthermore need to cover the case where the list is empty, so the first clause.

In a similar way you can simplify my_max/3:

my_max([X|L], M) :-
    my_max(L, X, M).

my_max([], R, R). 
my_max([X|Xs], WK, R):-
    V is max(X, WK),
    my_max(Xs, V, R).

You can implement both my_max and matrix_max as a “fold pattern” with foldl/4:

max2(X1, X2, M) :-
    M is max(X1, X2).

my_max([X|Xs], M) :-
    my_max(Xs, X, M).

my_max(Xs, M0, M) :-
    foldl(max2, Xs, M0, M).

matrix_max([R|Rs], M) :-
    my_max(R, RM),
    foldl(my_max, Rs, RM, M).