Consider the functions $f_n(x):= n^{1/2}\exp\left\{ (-n^2x^2)/(x+1)\right\}$. We want to figure out for which $p$ the functions converge in $L^p([0,\infty),leb)$.
I note that $L^p$ is a Banach space, so in the affirmative case you can show that the sequence is Cauchy. In the negative case, I used a graphing calculator to look for possible lower bounds and found that the sequence is not Cauchy using those lower bounds. Specifically, I found it is not Cauchy for $p\geq 2.$
However, I still don't know how to rigorously show that these functions are $L^p$ for, say, $1\leq p<2.$ Any hints would be great.
For $0<x<1$, $\frac{-1}{x+1}< -\frac{1}{2}$, therefore $$ ∫_0^1|f_n|^p = ∫_0^1n^{p/2} e^{-p\,n^2\,x^2/(x+1)}\,\mathrm{d}x \leq ∫_0^1n^{p/2} e^{-p\,n^2\,x^2/2}\,\mathrm{d}x $$ Moreover, with the change of variable $y=n\, x$ we have $$ ∫_0^1 n^{p/2} e^{-p\,n^2\,x^2}\,\mathrm{d}x = ∫_0^{\sqrt n} n^{p/2-1} e^{-p\,y^2}\,\mathrm{d}y \sim n^{p/2-1} C_p \underset{n\to\infty}{\longrightarrow} 0 $$ On the other hand, for $x>1$, $\frac{-1}{x+1} < -\frac{1}{2x}$, $$ ∫_1^\infty |f_n|^p \leq ∫_1^∞ n^{p/2} e^{-p\,n^2\,x/2}\,\mathrm{d}x = C \,n^{p/2-2} \underset{n\to\infty}{\longrightarrow} 0 $$ Therefore $$ f_n \underset{n\to\infty}{\longrightarrow} 0 $$ in any $L^p$ when $p<2$.