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In this paper, we use the Chebyshev spectral collocation method to solve a certain type ofstochastic differential equations (SDEs). We also use this methodto estimate parameters of stochastic differential equations fromdiscrete observations by maximum likelihood technique and Kesslertechnique. Our numerical tests shows that the spectral method givesbetter results than the Euler's method and the Shoji-Ozaki method.
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Huang et al. (2013) studied this question.
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