I found an answer trying to construct a subsequence of $x_n$ converging to lim sup $x_n$. But unfortunately, I don't get it. Can someone explain that or give a better/simpler example?
I define lim sup as either of the following:
$\lim \sup x_n = \lim_{n \to \infty} \sup_{k \geq n} x_k$
or
$\lim \sup x_n = \inf_m \sup_{k \geq m} x_k$?
Let $(x_n)$ be a sequence and also let $s=\limsup x_n$. That is:
$$s=\lim_n\sup_{k\geq n}x_k.$$
For $\epsilon_1=1>0$ there exists some $n_1$ such that:
$$s\leq\sup_{k≥n_1}x_k<s+1.$$
Hence, we can find some $k_1≥n_1$ such that $\sup\limits_{k≥n_1}x_k≥x_{k_1}>\sup\limits_{k≥n_1}x_k-1$.
Similarly, we can find a $k_2≥ k_1$ such that:
$$s+\frac{1}{2}>\sup\limits_{k≥n_2}x_k≥x_{k_2}>\sup\limits_{k≥n_2}x_k-\frac{1}{2},$$
and, inductively, find a subsequence $(x_{k_m})$ of $(x_k)$ such that:
$$s+\frac{1}{m}>\sup\limits_{k≥n_m}x_k≥x_{k_m}>\sup\limits_{k≥n_m}x_k-\frac{1}{m}$$
Letting $m\to\infty$, we take:
$$\lim_m x_{k_m}=s.$$