  Three schemes, whose expressions are not too complex, are selected for the
numerical integration of a system of stochastic differential equations in the
Stratonovich interpretation: the integration methods of Heun, Milstein, and
derivative-free Milstein. The strong (path-wise) convergence is studied for
each method by comparing the final points after integrating with $2^n$ and
$2^{n-1}$ time steps. We also compare the time that the computer takes to carry
out the integration with each scheme. Putting both things together, we conclude
that, at least for our system, the Heun method is by far the best performing
one.
