Rates of convergence in the functional CLT for multidimensional continuous time martingales |
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Affiliation: | IRMAR, Université de Rennes I, Campus de Beaulieu, 35042 Rennes Cedex, France |
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Abstract: | New rates of convergence in the multidimensional functional CLT are given by means of the Prokhorov's distance between a brownian motion and a continuous time martingale, with no further assumption than square integrability. The results are completely and simply expressed with distances of predictable characteristics which naturally occur in various statements of CLT for martingales. |
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