  The key difficulty to develop efficient high-order methods for integrating
stochastic differential equations lies in the calculations of the multiple
stochastic integrals. This letter suggests a scheme to compute the stochastic
integrals for the colored noises based on the white noise representation. The
multiple stochastic integrals involving one and two stationary noises can be
conveniently generated together with noises using the discrete Fourier
transformation. Based on the calculated stochastic integrals, we obtain simple
fourth-order and third-order strong methods for equations with a single and
multiple noises, respectively. Numerical tests verify the accuracy of the
suggested methods.
