Sequential estimation of the parameters of diffusion processes

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.