I am trying to solve the following problem in Measure Theory.
I assume that I have to use Hölder's Inequality but I don't see how.
Let $ E $ measurable, $m(E)<+\infty$, $1<p<+\infty$ and $ f\in L^p(E)$.
Prove that, if $ 1\leq r \leq p $, then $ f\in L^r(E)$ and $\|f\|_r \leq \|f\|_p m(E)^{\frac{1}{r} - \frac{1}{p}} $
You are definitely on the right track, indeed Holder inequality is all you need to apply: $$ \|f\|_r^r = \int_E |f|^r = \int_E |f|^r\cdot 1 \le \Big(\int_E |f|^{r\frac pr}\Big)^{\frac rp}\Big(\int_E 1\Big)^{1 - \frac rp} = \|f\|_p^{\frac rp}m(E)^{1 - \frac rp}. $$ Raising both sides to the power $\frac{1}{r}$ we obtain the desired inequality. Notice that here we used Holder's inequality with exponents $\frac pr$ and conjugate exponent $\frac{p}{p - r}$ (I have tacitly assumed that $r < p$, since otherwise there is nothing to prove).