This should serve as a starting point for you. I have hard coded every thing so that it will look some what simple (though bulky).
\documentclass[border=3pt]{standalone}
\usepackage{amsmath}
\usepackage{pgfplots}
\usetikzlibrary{calc}
\begin{document}
\begin{tikzpicture}
\begin{axis}[xlabel=Time $\rightarrow$,ylabel=$S(t) \rightarrow$]
\foreach \xStart/\xEnd in {0/.1, .2/.3, .4/.5, .6/.7,.8/.9} {
\addplot[domain=\xStart:\xEnd, blue, samples=10, ultra thick] {10};
}
%draw discontinuos lines
\draw [draw=red, dotted, thin] (axis cs: .1, 10) -- (axis cs: .1, 3);
\draw [draw=red, dotted, thin] (axis cs: .2, 10) -- (axis cs: .2, 3);
\draw [draw=red, dotted, thin] (axis cs: .3, 10) -- (axis cs: .3, 3);
\draw [draw=red, dotted, thin] (axis cs: .4, 10) -- (axis cs: .4, 3);
\draw [draw=red, dotted, thin] (axis cs: .5, 10) -- (axis cs: .5, 3);
\draw [draw=red, dotted, thin] (axis cs: .6, 10) -- (axis cs: .6, 3);
\draw [draw=red, dotted, thin] (axis cs: .7, 10) -- (axis cs: .7, 3);
\draw [draw=red, dotted, thin] (axis cs: .8, 10) -- (axis cs: .8, 3);
\draw [draw=red, dotted, thin] (axis cs: .9, 10) -- (axis cs: .9, 3);
% Show discontinuty points
\draw [draw=blue, fill=white, thick] (axis cs: .1, 10) circle (2.0pt);
\draw [draw=blue, fill=white, thick] (axis cs: .3, 10) circle (2.0pt);
\draw [draw=blue, fill=white, thick] (axis cs: .5, 10) circle (2.0pt);
\draw [draw=blue, fill=white, thick] (axis cs: .7, 10) circle (2.0pt);
\draw [draw=blue, fill=white, thick] (axis cs: .9, 10) circle (2.0pt);
\foreach \xStart/\xEnd in {.1/.2, .3/.4, .5/.6, .7/.8,.9/1} {
\addplot[domain=\xStart:\xEnd, blue, samples=10, ultra thick] {3};
}
% Show discontinuty points
\draw [draw=blue, fill=blue, thick] (axis cs: .1, 3) circle (2.0pt);
\draw [draw=blue, fill=blue, thick] (axis cs: .3, 3) circle (2.0pt);
\draw [draw=blue, fill=blue, thick] (axis cs: .5, 3) circle (2.0pt);
\draw [draw=blue, fill=blue, thick] (axis cs: .7, 3) circle (2.0pt);
\draw [draw=blue, fill=blue, thick] (axis cs: .9, 3) circle (2.0pt);
\end{axis}
\end{tikzpicture}
\end{document}
