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Rates of convergence in the functional CLT for multidimensional continuous time martingales

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  • Courbot, B.

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.

Suggested Citation

  • Courbot, B., 2001. "Rates of convergence in the functional CLT for multidimensional continuous time martingales," Stochastic Processes and their Applications, Elsevier, vol. 91(1), pages 57-76, January.
    • Handle: RePEc:eee:spapps:v:91:y:2001:i:1:p:57-76
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    References listed on IDEAS

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    1. Eberlein, Ernst, 1989. "Strong approximation of continuous time stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 31(2), pages 220-235, November.
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    Cited by:

    1. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
    2. Hafouta, Yeor & Kifer, Yuri, 2016. "Berry–Esseen type estimates for nonconventional sums," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2430-2464.

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