Question: Let pBtqt0 be a standard Brownian motion. Define the process Mt max0st Bs for all t 0, that is, the maximum value of the

Let pBtqt0 be a standard Brownian motion. Define the process Mt " max0st Bs for all t 0, that is, the maximum value of the Brownian motion pBtqt0 on r0, ts.

(a) Show that the joint cumulative distribution function of pMt.

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