I'm reading Bernt Oksendal's "Stochastic Differential Equations" and this is one of the exercise: 2.2 a) (iii).
Let $X:\Omega \rightarrow \mathbb{R}$ be a randome variable. The distribution function $F$ of $X$ is defined by $$F(x) = P[X\leq x]$$ a) prove that $F$ has the following properties: (iii) $F$ is right-continuous, i.e. $F(x) = \lim_{\substack{h\rightarrow 0\\h>0}}F(x+h)$.
I'm wondering, if $X$ is defined as: $$X = \lim_{n\rightarrow \infty}X_n,$$ where for $X_n$ $$\text{F}_{X_n}(x) = \left\{ \begin{array}{l l} 0 & \quad \text{if } x \leq 0 \\ n\cdot x & \quad \text{if } 0<x<1/n\\ 1 & \quad \text{if } 1/n \leq x \end{array} \right.$$ then wouldn't that $$F(0) = 0,$$ and $\forall \epsilon > 0$, $\exists n_\epsilon$, s.t. $\forall n>n_\epsilon$, $$F_{X_n}(\epsilon) =1 \text{ ?}$$
added after reading @MichaelHardy 's comment.
I think the question was not put clearly, due to my superficial understanding of probability theory.
Now let me try again. My real doubt is:
The assertion "distribution function $F$ is right-continuous" from "Stochastic Differential Equations" exercise 2.2 a) (iii) actually means:
it's not possible to define a random variable $ X:\Omega \rightarrow \mathbb{R}$, such that its distribution function fulfills:
$$F_X(x) = \left\{ \begin{array}{l l} 0 & \quad \text{if } x \leq 0 \\ 1 & \quad \text{if } x > 0 \end{array} \right.$$
I'd like to ask: why?