Past exam of the mathematics course of the University of Cambridge / 2019 / ii / Paper 4 / 26K / b / i

The quantile function $X_{\mu }=F_{\mu }^{-1}$ is nondecreasing, hence a Borel measurable function. More explicitly, for every $x\in \mathbb{R}$,Thus $X_{\mu }$ is a random variable, and because Lebesgue measure is being used on $(0,1)$,Its cumulative distribution function is therefore $F_{\mu }$, soThis is inverse transform sampling.