Is it possible to go over all lines of an infinite grid with a pencil without lifting it or going over a drawn line ?
The pencil can cross through a segment already drawn but cannot go over an already drawn line.
After doodling around, I have the feeling it is not possible. If indeed it is not possible what demonstration exist of this result ? If it is possible then can you show a way of drawing the grid ?
Easily one sees that drawing a sub-grid of $m\times n$ is possible for all values of m and n, by drawing vertical lines and then horizontal lines, without removing the pencil.

Yes, it is possible, using the method illustrated in this image.
Referring to Especially Lime's comment, this answer used to have an alternate proof which Lime noticed was fallacious, so I deleted that proof.