I have a normally distributed rv,let be X_t, ~ (μ*t,t*σ^2) 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.