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strictly stationary process; approximating martingale; coboundary
In the limit theory for strictly stationary processes $f\circ T^i, i\in\Bbb Z$, the decomposition $f=m+g-g\circ T$ proved to be very useful; here $T$ is a bimeasurable and measure preserving transformation an $(m\circ T^i)$ is a martingale difference sequence. We shall study the uniqueness of the decomposition when the filtration of $(m\circ T^i)$ is fixed. The case when the filtration varies is solved in [13]. The necessary and sufficient condition of the existence of the decomposition were given in [12] (for earlier and weaker versions of the results see [7]).
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[13] Volný, D.: Martingale approximation of stationary processes: the choice of filtration. submitted for publication.
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