Let $\Omega$ be a bounded subset of $\mathbb{R^n}$, and $f \in L^p(\Omega)$. Prove or disprove that there exits $\epsilon > 0$ such that $f \in L^{p+\epsilon}(\Omega)$.
It seems to me that there is no direct proof, but I can't find a counterexample. Any comments and ideas would be appreciated. Thanks!
Let $p \in [1, \infty)$. Take $f(x) := 1 / (x \log^2 x)^{1/p}$ on $\Omega := (0, \theta)$, where $\theta \in (0, 1)$, e.g. $\theta = 1/2$. Then $$\int_\Omega |f(x)|^p dx = \int_\Omega \frac{1}{x} \frac{1}{(\log x)^2} = \left. -\frac{1}{\log{x}} \right|_{x = 0}^{x = \theta} = -\frac{1}{\log \theta}$$ is finite. But $$\int_\Omega |f(x)|^{p + p \epsilon} dx = \int_\Omega \frac{1}{x^{1+\epsilon}} \frac{1}{\log^{2(1+\epsilon)} x} dx$$ does not exist for any $\epsilon > 0$.
PS. Of course, the term $\left. \frac{-1}{\log x}\right|_{x = 0}^{x = \theta}$ is to be understood with care. One justifiable way is to view it as $$ \left. \frac{-1}{\log x}\right|_{x = 0}^{x = \theta} = \lim_{\epsilon \searrow 0} \left. \frac{-1}{\log x}\right|_{x = \epsilon}^{x = \theta} = \frac{-1}{\log \theta} + \lim_{\epsilon \searrow 0} \frac{1}{\log \epsilon} = \frac{-1}{\log \theta} , $$ where $\frac{1}{\log \theta}$ is ok for $\theta \in (0, 1)$.