We propose a new concept which allows us to apply any numerical method of weak approximation to a very broad class of stochastic differential equations (SDEs) with nonglobally Lipschitz coefficients.

Florian Heiss, Sequential Numerical Integration in Nonlinear State Space Models for Microeconometric Panel Data, Journal of Applied Econometrics, Vol. 23, No. 3 (Apr., 2008), pp. 373-389 ...