In this paper, we consider the problem of searching for a randomly moving target whose dynamics are given by a stochastic differential equation with unknown parameters. First, the formulation of the problem is briefly stated, referring to the search function, and a basic equation of the conditional probability density function is derived which describes the probabilistic feature of the target. Second, evolutions are derived for the search function and the estimation of the unknown parameters. These evolution equations should be solved simultaneously with attendant nonlinear problems. Finally, a possible approximate algorithm of realizing the optimal nonlinear searching and parameter eatimation is presented for an interesting and important problem of fleeing datumairborne search, including simulation studies.