 Solution

The Lp space is the vector space of equivalence classes, modulo equality almost everywhere, of measurable functions $f$ with $\int |f{|}^{p}d\mu <\infty$, equipped with $\Vert f{\Vert }_p=(\int |f{|}^{p}d\mu {)}^{1/p}$. To prove it is a Banach space, let $(f_n)$ be Cauchy in this norm. Choose a subsequence $(f_{n_j})$ such thatTake measurable representatives and put $g_j=|f_{n_{j+1}}-f_{n_j}|$, $G_M={\sum }_{j=1}^M{g}_j$. The Minkowski inequality gives $\Vert G_M{\Vert }_p\le {\sum }_j{2}^{-j}\le 1$. By the monotone convergence theorem, $G={\sum }_{j\ge 1}{g}_j$ satisfies $\int G^{p}d\mu \le 1$. Consequently $G$ is finite almost everywhere, and the telescoping seriesconverges absolutely almost everywhere. Define it arbitrarily on the null exceptional set. The bound $|f|\le |f_{n_1}|+G$ puts $f$ in $L^p$.

For the tails, monotone convergence and Minkowski again giveSince the original sequence is Cauchy, the triangle inequality then gives $f_n\to f$ in norm, not merely along the subsequence. HenceThis proof needs no finiteness or sigma-finiteness assumption on the measure space.