  We investigate the invariance principle in H{\"o}lder spaces for strictly
stationary martingale difference sequences. In particular, we show that the
sufficient condition on the tail in the i.i.d. case does not extend to
stationary ergodic martingale differences. We provide a sufficient condition on
the conditional variance which guarantee the invariance principle in H{\"o}lder
spaces. We then deduce a condition in the spirit of Hannan one.
