I know that the Heun scheme takes the following form:
$X^*_{n+1} = X_n + f(X_n,n)\Delta t + g(X_n, n)\Delta W_n$
$X_{n+1} = X_n + \frac{1}{2}\left( f(X_n,n) + f(X^*_{n+1},n+1) \right)\Delta t + \frac{1}{2}\left(g(X_n,n) + g(X^*_{n+1},n+1 \right)\Delta W_n$
Intuitively, the logic behind this scheme kinda makes sense to me, especially with how for Stratonovich integrals you are meant to evalutae the function at the midpoint of the domain over which you integrate. But I'm struggling to actually derive the scheme (i.e. show that it actually does correctly approximate a step in $X_n$). If anyone could help with this that would be greatly appreciated, thanks!