Dynamics of the membrane potential in a single neuron can be studied estimating biophysical parameters from intracellular recordings. Diffusion processes, given as continuous solutions to stochastic differential equations, are widely applied as models for the neuronal membrane potential evolution. One-dimensional models are the stochastic integrate-and-fire neuronal diffusion models. More biophysical neuronal models take into account the dynamics of ion channels or synaptic activity, leading to multidimensional diffusion models. Since only the membrane potential can be measured, this complicates the statistical inference and parameter estimation from these partially observed detailed models. This paper reviews parameter estimation techniques from intracellular recordings in these diffusion models.