As part of my PhD thesis conducted during the years 2012-2016 at the Le Mans University, in collaboration with the Yerevan State University, I have published three papers on the topic of Statistics of Stochastic Processes. On Approximation of the BSDE with Unknown Volatility in Forward Equation was published in the Armenian Journal of Mathematics and was coauthored by my PhD advisor Yu.A. Kutoyants. The two other papers were on the mean function estimation of inhomogeneous Poisson processes. A second order asymptotic efficiency for estimators of the mean function was defined (On the lower bound in second order estimation for Poisson processes: Asymptotic efficiency in Mathematical Methods of Statistics with Yu.A. Kutoyants) and the corresponding second order efficient estimator was constructed (Second order asymptotical efficiency for a Poisson process in Journal of Contemporary Mathematical Analysis).