Michael SørensenProfessor at the Department of Mathematical Sciences, University of Copenhagen. 

You may also be interested in the book Empirical Process Techniques for Dependent Data that I have edited jointly with Thomas Mikosch and Herold Dehling. 
Jointly with Mathieu Kessler and Alexander Lindner, I have edited the book Statistical Methods for Stochastic Differential Equations, where you can read about my work (and that of others) in this area. I have written the chapter on "Estimating functions for diffusion type processes". 