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He defines an approximation process \\(X_t^n \\in R^q\\), given componentwise for \\(1\\leq i\\leq q\\) as  \\[ X_t^{ni} = X_{n(t)}^{ni} + f^i(X_{n(t)}^{n})(Y_t -Y_{n(t)}) + \\text{tr}([f(X_{n(t)}^{n})]^T D f^i(X_{n(t)}^{n})\\int_{n(t)}^t Y_s-Y_{n(s)}dY_s^T), \\]  where \\(n(t)= k/n\\), if \\(k/n< t < (k+1)/n\\), \\(\\text{tr}(A)\\) is the sum of the diagonal elements of some matrix \\(A\\) and \\(Df^i=(f_k^{ij})\\) with \\(f_k^{ij}:= \\frac{\\partial f^{ij}}{\\partial x_k}\\). Defining the error process of the above scheme as \\(U_t^n=X_t^n-X_t\\) the author proves via tightness arguments under certain conditions on \\(f\\) and \\(Y\\) that \\(nU^n\\) converges weakly to a non-zero process \\(U\\) which satisfies a certain linear stochastic differential 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