Full Question:
Suppose that $F$ is a nonnegative function that is integrable on $\mathbb R$ and there is a constant $C$ such that
$\int_\mathbb R Ff \leq C\int_\mathbb R f$
whenever $f$ is a nonnegative continuous function on $\mathbb R$ having compact support. Prove that $F(x) \leq C$ for almost all $x$.
My thoughts:
I feel like I should use the density of compactly supported continuous functions in $L_1$, but I'm having a tough time getting on the right track. Any help would be appreciated.
This is cheap but here you go:
It's easy to see that indicator functions of compact intervals can be approximated pointwise by nonnegative compactly supported continuous functions$^*$. Thus (by dominated convergence for instance) your assumed inequality extends to such functions. That is, for any interval $I$, \begin{align*} \int\chi_IF\leq C\int\chi_I \end{align*} which implies \begin{align*} \frac{1}{|I|}\int_IF\leq C \end{align*} where $\chi$ is the indicator function. You can conclude by the Lebesgue differentiation theorem.
*If this isn't obvious, what you should do is take $\epsilon\to0$ in the continuous function \begin{align*} \chi_{[a,b],\epsilon}(x)=\left\{\begin{array}{ll}0&x<a-\epsilon\\\text{interpolation}&a-\epsilon\leq x<a+\epsilon\\ 1&a+\epsilon\leq x<b-\epsilon\\\text{interpolation}&b-\epsilon\leq x<b+\epsilon\\ 0&b+\epsilon<x\end{array}\right.. \end{align*}