Stochastic differential equations are becoming a popular tool for modeling the transport and acceleration of cosmic rays in the heliosphere. In diffusive shock acceleration, cosmic rays diffuse across a region of discontinuity where the up- stream diffusion coefficient abruptly changes to the downstream value. Because the method of stochastic integration has not yet been developed to handle these types of discontinuities, I utilize methods and ideas from probability theory to develop a conceptual framework for the treatment of such discontinuities. Using this framework, I then produce some simple numerical algorithms that allow one to incorporate and simulate a variety of discontinuities (or boundary conditions) using stochastic integration. These algorithms were then modified to create a new algorithm which incorporates the discontinuous change in diffusion coefficient found in shock acceleration (known as Skew Brownian Motion). The originality of this algorithm lies in the fact that it is the first of its kind to be statistically exact, so that one obtains accuracy without the use of approximations (other than the machine precision error). I then apply this algorithm to model the problem of diffusive shock acceleration, modifying it to incorporate the additional effect of the discontinuous flow speed profile found at the shock. A steady-state solution is obtained that accurately simulates this phenomenon. This result represents a significant improvement over previous approximation algorithms, and will be useful for the simulation of discontinuous diffusion processes in other fields, such as biology and finance.