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Let $f: A \to Y $ be a continuous function, where $A$ is a closed subset of a space $X$, then is it true that $f$ can always extend to a continuous function $U \to Y$ for some open neighborhood of $A$? Or under what condition this is true? I ask this question because it seems that in the famous paper [Faisceaux Algébriques Cohérents] by Jean-Pierre Serre, he use this kind of conclusion to extend a section of a sheaf.

Lao-tzu
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For a toy counterexample, consider the three-point space $X = \{a,b,c\}$, where the open sets are $\emptyset$, $\{b\}$, $\{a,b\}$, $\{b,c\}$, and $X$. Then $\{a,c\}$ is closed, and can be mapped to the two-point discrete space $\{0,1\}$ by taking $a$ to $0$ and $c$ to $1$. But this map cannot be extended to $X$ (which is the only open neighborhood of $\{a,c\}$), since $X$ is connected.

This sort of trick can be used for many non-Hausdorff spaces mapping to two points.

As hardmath mentions, the statement applies to maps from normal spaces to the real numbers, by the Tietze extension theorem.