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One sensible way of generalizing continuity to set-valued functions (from $X$ to subsets of $Y$) is to require the graph of the function to be closed in the product $X\times Y$. Thus, the Heaviside function is not continuous because one of the points 0 or 1 on the $y$-axis is not in the graph, but if one redefines it to take both values at 0, the graph becomes closed subset of the plane. See http://en.wikipedia.org/wiki/Closed_graph_theorem for a related (but different) notion.