 Completeness of Lp spaces

From an Lp norm Cauchy sequence choose a subsequence with successive difference norms at most $2^{-j}$. Minkowski inequality and monotone convergence theorem make the sum of the absolute differences an $L^p$ function, hence finite almost everywhere. The telescoping series defines an $L^p$ limit; the geometric bound on its tail proves norm convergence of the subsequence, and the original Cauchy property proves convergence of the whole sequence. No sigma-finiteness assumption is needed.