Abstract
We extend the forward-backward martingale decomposition of Meyer-Zheng-Lyons's type from the symmetric case to the general stationary situation for the partial sum S.(ƒ) with ƒ satisfying a finite energy condition. As corollaries we obtain easily a maximal inequality and a tightness result related to Donsker's invariance principle, and especially a criterion of a.s. compactness related to Strassen's strong invariance principle.
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