Strict generalized inverse of a nondecreasing function

ID: strict-generalized-inverse-of-a-nondecreasing-function

For an unbounded nondecreasing function , its strict generalized inverse is . It is nondecreasing and right-continuous in . If , then for any monotonicity gives , so eventually and ; also . Local finiteness gives finite left limits. Flat parts of create jumps of . For the continuous running maximum of Brownian motion, this gives the càdlàg Brownian first-passage subordinator.

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