  This paper introduces a family of recursively defined estimators of the
parameters of a diffusion process. We use ideas of stochastic algorithms for
the construction of the estimators. Asymptotic consistency of these estimators
and asymptotic normality of an appropriate normalization are proved. The
results are applied to two examples from the financial literature; viz.,
Cox-Ingersoll-Ross' model and the constant elasticity of variance (CEV) process
illustrate the use of the technique proposed herein.
