This paper introduces the development of several cell mapping methods closely associated with nonlinear stochastic dynamical systems, including generalized cell mapping method with digraph, cell mapping method based on shorttime Gaussian approximation, parallel cell mapping method etc. The applications of cell mapping method in stochastic dynamical systems are also shown, focusing on stochastic response、bifurcation、exit and vibroimpact system. Finally, some challenges and possible future researches about cell mapping method are presented.