Geodesic
Sequential estimation of the parameters of diffusion processes
Matematičeskie zametki, Tome 12 (1972) no. 5, pp. 627-638.

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For the parameter $\lambda$ of a diffusion process $\xi(t)$, satisfying the stochastic differential equation $$ d\xi(t)=\lambda f(t,\xi)dt+dw(t), $$ we propose an effective sequential estimation plan with an unbiased and normally distributed estimate. The proposed sequential plan is discussed in detail for the example of a process $\xi(t)$ having a linear stochastic differential. 
@article{MZM_1972_12_5_a17,
     author = {A. A. Novikov},
     title = {Sequential estimation of the parameters of diffusion processes},
     journal = {Matemati\v{c}eskie zametki},
     pages = {627--638},
     publisher = {mathdoc},
     volume = {12},
     number = {5},
     year = {1972},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_1972_12_5_a17/}
}
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A. A. Novikov. Sequential estimation of the parameters of diffusion processes. Matematičeskie zametki, Tome 12 (1972) no. 5, pp. 627-638. http://geodesic.mathdoc.fr/item/MZM_1972_12_5_a17/