Questions on the calculus of stochastic processes, or processes that have a random component.

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Can this approximation result for stochastic processes be modified.(p=1 instead of p=2)?

In McKeans stochastic integrals from 1969 he proves this: You have a filtered probability space $(\Omega,\mathcal{F},P)$, where the filtration is based on a Brownian motion. Assume that $X_t$ is ...