Proof:
Let $a,b\in \mathbb{R}$ with $a<b$. $f$ is Lipschitz continuous since $\forall x,y\in [a,b]:$
$$|f(x)-f(y)|=|x^2-y^2|=|x+y|\cdot |x-y| \overset{(*)}\leq (|x|+|y|)\cdot |x-y| \leq 2\max \{|x|,|y|\}\cdot |x-y|$$ Finally $2\max \{|x|,|y|\}\cdot |x-y|\leq 2\max \{|a|,|b|\}\cdot |x-y|$.
I understand nearly everything, except why $\max \{|a|,|b|\}$ is being multiplied by $2$. What's the reasoning behind that?
Kind regards
Since $x,y\in [a,b],$ it follows that $|x|,|y|\leq \max\{|a|,|b|\}.$ Hence, $$|x|+|y|\leq 2\max\{|x|,|y|\}\leq 2\max\{|a|,|b|\}.$$