Find the distribution of the supremum of the Brownian motion Posted by Argha, at stats.stackexchange.com, 12 Oct 2014 Let $A(t)$, $t \in [0,1]$ be a Gaussian process with zero mean and co-variance kernel $\mathrm{Cov}(A(t_1),A(t_2))= \min (t_1,t_2…