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Characterization, setting, and plot are all essential elements in the theme of a story. Each of these elements can tell you something about the theme. Perhaps the best way to make this point is to give an extended example. Let me use Sophocles, Oedipus Rex as an example.
The setting of the story is a plague. There is a plague in the city of Thebes and the people are suffering. There is fear and death in the air and the setting shows that something is not quite correct. From this perspective, we can say that the theme is being developed - something unnatural has taken place. There is a transgression in view.
The unfolding of the plot make this point clear as well. There is a sense that there has been a horrible crime. And indeed this is the case. We discover that Oedipus has killed his father and married his mother.
The characterization of Oedipus also adds to this theme of transgression. Oedipus is filled with pride. He thinks that he can solve the problem, when he is the problem. This blindness and arrogance nicely complements the theme.
In conclusion, in all good stories, characterization, setting, and plot develop the theme of the story.
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