Bounding the maximal height of a diffusion by the time elapsed (Q5952044)

Given a linear diffusion \(X\) with generator \(A= \mu{d\over dx}+{1\over 2}\sigma^2(x){d^2\over dx^2}\), the author shows how to find a function \(H\) satisfying \[ C_1E(H(\tau))\leq E\Biggl[\max_{0\leq t\leq \tau} X(t)\Biggr]\leq C_2 E(H(\tau)) \] for all stopping times \(\tau\) using the solution of \(F\) of \(AF=1\). Examples given include known results.