Skorokhod's representation theorem

Skorokhod's Representation Theorem is a very important result in probability theory. It tells us something about how random variables (things that have random values, like a toss of a coin) can be approximated by other kinds of random variables. In other words, it tells us how to make different kinds of random variables look the same. To put it simply, Skorokhod's Representation Theorem says that for any two random variables (X and Y), we can find another random variable (Z) that looks just like X, and it looks just like Y too. This is really useful, because it helps us understand how two different random variables might be related to each other.