A fundamental mean-square convergence theorem for SDEs with locally   Lipschitz coefficients and its applications
  A version of the fundamental mean-square convergence theorem is proved for stochastic differential equations (SDE) which coefficients are allowed to grow polynomially at infinity and which satisfy a one-sided Lipschitz condition. The theorem is illustrated on a number of particular numerical methods, including a special balanced scheme and fully implicit methods. Some numerical tests are presented. 
M.V. Tretyakov and Z. Zhang
math.NA math.PR