Explicit one-step numerical method with the strong convergence order of 2.5 for Ito stochastic differential equations with a multi-dimensional nonadditive noise based on the Taylor–Stratonovich expansion

A strongly converging method of order 2.5 for Ito stochastic differential equations with multidimensional nonadditive noise based on the unified Taylor–Stratonovich expansion is proposed. The focus is on the approaches and methods of mean square approximation of iterated Stratonovich stochastic integrals of multiplicities 1–5 the numerical simulation of which is the main difficulty in the implementation of the proposed numerical method.