Abstract
We present and discuss an algorithm for integrating a set of stochastic differential equations driven by colored noise. The algorithm, being fully implicit for the stochastic differential equation governing the noise, is stable upon changing \ensuremath{\tau} (the noise correlation time) to any desired value. In particular, the limit of vanishingly small \ensuremath{\tau} can be safely taken, and the algorithm yields the corresponding white-noise quantities in a natural way.
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