The Mathematica versions in Higham "An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations", SIAM Review, Vol. 43, No. 3, 2001.
Please refer (https://github.com/IanHawke/HighamSDEs)
The Details can be found in the paper (http://www.caam.rice.edu/~cox/stoch/dhigham.pdf)