Define Ito and Stratonovich processes with the same SDE :

Find mean and variance functions for the Ito process:

The mean and variance functions for the Stratonovich process are different:

When , the Ito solution almost surely converges to zero, i.e. the large limit of probability that process value is does not exceed equals :

Confirm it using simulations:

When , the Stratonovich solution, however, almost surely diverges, i.e. the large limit of the probability that process value exceeds equals :

Confirm it using simulations: