I am contemplating over the following exercise (in which $E=[0,1]$):
Let $f_n$ be a sequence of functions in $L^p(E)$, $1<p<\infty$, which converge almost everywhere to a function $f$ in $L^p(E)$, and suppose that there is a constant $M$ such that $\|f_n\|_p\le M$ for all $n$. Then for each function $g$ in $L^q(E)$ (with $\frac1p+\frac1q=1$), we have $$\int_E fg=\lim_{n\to\infty}\int f_n g.$$
If measure of $E$ is finite, one can make use of Egoroff's theorem and find a set $A$ of small enough measure such that $f_n$ converges uniformly to $f$ on $E\setminus A$, and $\int_A|g|^q<\epsilon'^q$. Thus the difference $$ \left|\int_E fg - \int_E f_ng\right|\le\int_E |(f-f_n)g|=\int_A |(f-f_n)g|+\int_{E\setminus A}|(f-f_n)g| $$ $$ \le\text{[by Holder]}\le 2M\epsilon'+\|f-f_n\|_p\cdot\|g\|_q $$ can be made less than any desired $\epsilon$ for big enough $n$.
My question is: does this result also hold true if the measure of $E$ is infinite?
Yes: consider for each integer $N$ the sets $S_N:=\{x,|g(x)|>N^{-1}\}$. Since $|g|^q$ is integrable, these sets have finite measure, and we are reduced to show the result when $E=\bigcup_NS_N$.
Then we use a $2\varepsilon$-argument: fix $\varepsilon>0$; we can find $N$ such that $\int_{E\setminus S_N}|g|^q<\varepsilon$. Then we do the same proof as the case $E$ of finite measure.