 Solution

Let $q$ be conjugate to $p$, so $1/q=1-1/p$, including $q=1$ for $p=\infty$. Hölder's inequality implies, for every measurable finite-measure set $E$,This proves integrability on $A$ and gives uniform integrability there. Choose a set $B\subseteq A$ with $\lambda (A\setminus B)\le \delta$ on which convergence is uniform, using Egorov theorem. ThenFirst take $n\to \infty$ and then $\delta \downarrow 0$. Thus even the local $L^1$ difference tends to zero, and in particularFor $1<p<\infty$, simple functions supported on finite-measure Borel sets are dense in $L^q(\mathbb{R})$. The displayed convergence proves pairing convergence for such functions. Approximate any $h\in L^q$ by a simple $h_0$ and useBy the duality of Lp spaces, these are all continuous linear functionals on $L^p$, so $f_n$ converges weakly to $f$. It need not converge strongly: $f_n=1_{[n,n+1]}$ converges pointwise to zero but has $L^p$ norm one. For $p=\infty$ the pairing argument gives weak-star convergence against $L^1$, rather than asserting weak convergence against every functional in the much larger full dual.