Alternatives to the stochastic taylor expansion which is more trouble than it is worth.
Unscented transformm
(Roth, Hendeby, and Gustafsson 2016)
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———. 2012. “Some Relations Between Extended and Unscented Kalman Filters.” IEEE Transactions on Signal Processing 60 (2): 545–55. https://doi.org/10.1109/TSP.2011.2172431.
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———. 2010. Numerical Solution of Stochastic Differential Equations. Berlin, Heidelberg: Springer Berlin Heidelberg. https://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=3099793.
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