I am interested in including LZO compression in the current closed source application. LZO is currently licensed with GPLv2, but I'm confused if I need to open the original application as well, if I use their libraries. I am in no way changing my library.
Two points.
Yes, if you are contacting the GPL library, you need to open the source code of all your code.
http://www.gnu.org/licenses/old-licenses/gpl-2.0-faq.html#GPLInProprietarySystem
This is different from LGPL. You do not need to open the source code of all your code if you are contacting the LGPL library.
If you included the GPLv2 library in your application with closed source code (even without modifying it), you perform the derivative work in accordance with paragraph 0 of GPLv2. Therefore, the application must be licensed in GPLv2. See the Legal FAQ for GNU for more information.
In fact, Markus FXJ Oberhumer licenses this library under the GPL, which in itself does not make it suitable for use in a closed source product, as it is the sole author and therefore has the right to sell less restrictive licenses to interested parties. Contact him:
http://www.oberhumer.com/opensource/lzo/
You can find the LGL version of LZO, or if you can live at a slightly lower speed, zlib is very freely licensed.
Deflate suppsoed has similar decompression speed for LZO and LGPL