Power system stability is a traditional yet important topic in power system research. Deterministic models have been used for study of power systems stability. However, the stochastic features of power system have great impacts on the stability of power systems which cannot be ignored. In this paper, we review existing literatures using Stochastic Differential Equations (SDE) for analyzing power system stochastic transient, voltage and small-signal stability. The preliminaries of SDE are also introduced for better understanding the whole paper. The stochastic features of power systems would lead to power system instability. Therefore, it is necessary to study further on this topic.