In a class of diffusion Markov processes, we formulate a problem of identification of nonlinear stochastic dynamic systems with random parameters, multiplicative and additive noises, control functions, and the state vector at a final time moment. For such systems, the identifiability conditions are being studied, and necessary conditions are formulated in terms of the general theory of extreme problems. The developed engineering methods for identification and optimizing nonlinear stochastic systems are presented as well as their application for unmanned aerial vehicles under wind disturbances caused by atmospheric turbulence, namely, for optimizing the autopilot parameters during a rotary maneuver of an unmanned aerial vehicle in translational motion, taking into account the identification of its angular velocities.