Modelling of crude oil prices has been extensively made. In this paper, we concluded that the Brent oil prices follow a Markov chain. Moreover, we predict the model of fluctuating these prices from January 2004 to July 2010 by integrating the limit probability distribution of a Markov chain and Gumbel Max distribution. In this model, we analyze the trends of Brent oil prices from the short term to middle and long terms.