Abstract:
Let $(X^n)_{n\ge 1}$ be a family of semimartingales with the canonical representation (1). Under the conditions (À), (Â), (C) the central limit theorem is valid:
$$
R_t^n=\sup_x\biggl|\mathbf P\{X_t^n\le x\}-\Phi\biggl(\frac{x}{\sqrt V_t}\biggr)\biggr|\to0,\qquad n\to\infty.
$$
We give the estimates (3)–(6) for the rate of convergence of $R_t^n$ in the cases when $(X^n)_{n\ge 1}$ are families of semimartingales, local martingales and local square integrable martingales.