Let $ \emptyset \neq U \subset \mathbb{R} ^d $ be an open set.
Define $ C_0(U) := \left\{ f \in C(U) : \forall \epsilon > 0 \exists K \subset U , K \mbox{ compact and }\sup_{x \in U \setminus K} |f(x)| < \epsilon \right\} $.
To show is that $ (C_0 (U) , \left \lVert . \right \rVert_{\infty} ) $ is a Banach space.
I have huge struggles showing that $C_0 (U) $ is complete. I know I need a Cauchy sequence which converges in that norm. It would be great if someone can help me understand what to do with that set.
It's a standard and not too difficult result that that if $f_n$ is a Cauchy sequence of continuous functions in the superemum norm, it converges with this norm to a continuous function.
So, it remains to show that the uniform limit of continuous functions small outside of sets $K_n$ is also small outside of a compact set. Indeed, let $f_n\to f$ uniformly. Then, for a given $\epsilon$, we can find an $N(\epsilon)$ large enough so that whenever $n\geq N(\epsilon)$, we have $$ |f_n(x)-f(x)|<\epsilon/2 $$ for any $x\in U$. For this given epsilon, we can also find a $K_{N,\epsilon}$ compact in $U$ such that $$ |f_{N}(x)|<\epsilon/2 $$ for any $x\in U\setminus K_{N,\epsilon}$. So, by the triangle inequality, we show that $f$ is small outside of this set as well; let $x\in U\setminus K_{N,\epsilon}$, $$ ||f(x)|-|f_n(x)||<\epsilon/2\implies |f(x)|<\epsilon/2+|f_n(x)|<\epsilon $$ And the claim is shown.