  The main objective of this paper consists in creating a new class of copulae
from various joint distributions occurring in connection with certain Brownian
motion processes. We focus our attention on the distributions of univariate
Brownian motions having a drift parameter and their maxima and on correlated
bivariate Brownian motions by considering the maximum value of one of them. The
copulae generated therefrom and their associated density functions are
explicitly given as well as graphically represented.
