The following is a partial proof of the Montone Convergence Theorem for sequences transcribed from one of Alfonso Gracia-Saz' Calculus videos.
More specifically, what it's proving is that if a sequence is increasing and bounded above, then it is convergent.
Let $\big\{ a_n\big\}_{n = 0}^\infty $ be an increasing sequence that's bounded above.
Let's consider the set $\mathcal{A} = \{ a_n \mid n \in \mathbb{N} \} $. It is non-empty, and bounded above, so by the Least Upper Bound Principle, it must have a supremum.
We will take $L = \sup \mathcal{A}$. We will prove that $ L = \displaystyle \lim_{n \to \infty} a_n$.
Let $\epsilon > 0$.
By the definition of supremum, $ \exists n_0 \in \mathbb{N}, L - \epsilon < a_{n_0}$. We take that value of $n_0$.
Let $n \in \mathbb{N}$. Assume $n \geq n_0$. We want to show that $L - \epsilon < a_n < L + \epsilon$.
We know $L - \epsilon < a_{n_0}$.
Because the sequence is increasing, $a_{n_0} \leq a_n$.
By the definition of supremum, $a_n \leq L$.
Thus, $$ L - \epsilon < a_{n_0} \leq a_n \leq L < L + \epsilon $$ $ \blacksquare$
My question is regarding line (5) above. I don't understand how the existence of $n_0$ follows from the previous lines and the definition of supremum. What if the supremum is not contained within the sequence (it's not the maximum after all), and $\epsilon$ is a very, very small real number? Wouldn't that make it possible for such a natural number $n_0$ not to exist?
I'm sure I'm missing something, but I can't seem to figure it out on my own.
You can prove 5) by contradiction. If the statement in 5) is false, then $a_n \leq L-\epsilon$ for all $n$. This means $L-\epsilon$ is an upper bound for $\mathcal A$. But you cannot have an upper bound smaller than the least upper bound.