  The difference equations $\xi_{k}=af(\xi_{k-1})+\epsilon_{k}$, where
$(\epsilon_k)$ is a square integrable difference martingale, and the
differential equation ${\rm d}\xi=-af(\xi){\rm d}t+{\rm d}\eta$, where $\eta$
is a square integrable martingale, are considered. A family of estimators
depending, besides the sample size $n$ (or the observation period, if time is
continuous) on some random Lipschitz functions is constructed. Asymptotic
optimality of this estimators is investigated.
