I have a normally distributed rv,let be X_t, ~ (μ*t,t*σ^2)(adsbygoogle = window.adsbygoogle || []).push({});

what's the distribution of max(X_t) ?

how do we do this? I wanted to simulate but the more I simulate the more the values expand and explode.

Any help?

Or an easier question which can help me solve this. I have a joint cdf of (max(X),X) how can I get their joint pdf? I need to do the jacobian I think but not sure how.

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# Distribution of the maximum of a RV

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