Let $\mathcal{U}$ be an oper cover of a topological space $A \subseteq \mathbb{R}^n$. The Lebesgue number of $\mathcal{U}$ is defined as the least upper bound for all numbers $\delta \geq 0$ such that any subset $B \subseteq A$ of diameter less than $\delta$ is contained in some element of the cover.
Is this definition correct? How is the existence of the supreme guaranteed? . In most texts they define the number of Lebesgue as a number that satisfies the aforementioned condition, but they omit the supreme one to give a unique definition.
In fact there are two definitions of a Lebesgue number of an open cover $\mathcal{U}$ of a metric space $(X,d)$. As José Carlos Santos pointed out, the first one is the most common version:
(1) A Lebesgue number for $\mathcal{U}$ is a number $\delta > 0$ such that any open ball $B(x;\delta)$ with radius $\delta$ is contained in some $U \in \mathcal{U}$.
(2) A Lebesgue number for $\mathcal{U}$ is a number $\delta > 0$ such that any subset $M \subset X$ having diameter $< \delta$ is contained in some $U \in \mathcal{U}$.
These concepts are equivalent.
If $\delta$ is a Lebesgue number in the sense of (1), then it is also a Lebesgue number in the sense of (2): Let $M \subset X$ have diameter $< \delta$. Then for any $x \in M$ we have $M \subset B(x;\delta)$.
If $\delta$ is a Lebesgue number in the sense of (2), then any $\delta' < \delta/2$ is a Lebesgue number in the sense of (1): The diameter of $B(x;\delta')$ is $\le 2 \delta' < \delta$.
The definition of the Lebesgue number of $\mathcal{U}$ as the supremum $\lambda$ of all Lebesgue numbers for $\mathcal{U}$ is not really common. Note that $\lambda = \infty$ is possible.
Let us show that based on definition (2) $\lambda$ is the biggest Lebesgue number for $\mathcal{U}$. So let $M \subset X$ have diameter $< \lambda$. Hence there exists a Lebesgue number $\delta$ such that $M$ has diameter $< \delta$. We conclude that $M$ is contained in some $U \in \mathcal{U}$.
Based on definition (1) it is not guaranteed that $\lambda$ is a Lebesgue number for $\mathcal{U}$. Certainly each $B(x;\lambda)$ is the union of all $B(x;\delta)$ such that $\delta$ is a Lebesgue number for $\mathcal{U}$. Each of these sets is contained in some $U_{x,\delta} \in \mathcal{U}$, but it is not guaranteed that all these $U_{x,\delta}$ are contained in a single $U \in \mathcal{U}$.
The existence of Lebesgue numbers depends on $\mathcal{U}$. If $X$ is compact, then each $\mathcal{U}$ admits a Lebesgue number.