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Note: three things have to happen:
Otherwise $f$ is discontinuous at $a$.
There are various kinds of discontinuity (which we've already seen):
This function has a limit at zero (-.5), but is not defined there. If $f$ is not defined at $x=0$, then it cannot be continuous there. We can fix this, by the way.... Just define $f(0)$ to be the limit (the closed dot in the graph above).
If $g$ is continous at $x=c$ and $f$ is continous at $g(c)$ then
$F(x)$ is continuous at $x=c$.