 Solution

On a bounded Lipschitz domain $\Omega \subset {\mathbb{R}}^d$, the Rellich-Kondrachov compactness theorem states that $W^{1,p}(\Omega )\hookrightarrow L^q(\Omega )$ is compact for $1\le p<\infty$ andwith $1/q=0$ for $q=\infty$. Thus $q<p^{\ast }$ when $p<d$, every finite $q$ is allowed when $p=d$, and the embedding into continuous functions with their uniform norm is compact when $p>d$.

For the main proof, a Sobolev extension operator puts a bounded sequence into a common compactly supported region of ${\mathbb{R}}^d$. The Sobolev fundamental theorem of calculus on lines gives the uniform translation estimate $\Vert u(\cdot +h)-u{\Vert }_p\le |h|\Vert \nabla u{\Vert }_p$. Convolution with a mollifier therefore approximates the sequence uniformly in Lp space. At any fixed smoothing scale, its derivatives and supremum are uniformly bounded, so the Arzelà-Ascoli theorem gives a convergent subsequence. A diagonal choice and the uniform approximation give strong Lp space convergence. The finite measure of $\Omega$ handles $q<p$, while Lp interpolation inequality with the bounded Sobolev embeddings upgrades this to the larger subcritical finite Lp spaces; for $p>d$, Morrey's inequality gives uniform equicontinuity directly and the Arzelà-Ascoli theorem gives uniform convergence. Boundedness of the domain is essential.