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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1982 Volume 27, Issue 1, Pages 3–14 (Mi tvp2241)

This article is cited in 13 papers

On the rate of convergence in the central limit theorem for semimartingales

R. Š. Lipñer, A. N. Širyaev

Moscow

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.

Received: 08.10.1981


 English version:
Theory of Probability and its Applications, 1982, 27:1, 1–13

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