Efficient pointwise estimation based on discrete data in ergodic   nonparametric diffusions
  A truncated sequential procedure is constructed for estimating the drift coefficient at a given state point based on discrete data of ergodic diffusion process. A nonasymptotic upper bound is obtained for a pointwise absolute error risk. The optimal convergence rate and a sharp constant in the bounds are found for the asymptotic pointwise minimax risk. As a consequence, the efficiency is obtained of the proposed sequential procedure. 
L.I. Galtchouk, S.M. Pergamenshchikov
math.ST stat.TH