  We present a review of several results concerning the construction of the
Cramer-von Mises and Kolmogorov-Smirnov type goodness-of-fit tests for
continuous time processes. As the models we take a stochastic differential
equation with small noise, ergodic diffusion process, Poisson process and
self-exciting point processes. For every model we propose the tests which
provide the asymptotic size $\alpha $ and discuss the behaviour of the power
function under local alternatives. The results of numerical simulations of the
tests are presented.
