(a) State Jensen's inequality. Give the definition of $\|\cdot\|_{L^{p}}$ and the space $L^{p}$ for $1<p<\infty$. If $\|f-g\|_{L^{p}}=0$, is it true that $f=g$ ? Justify your answer. State and prove Hölder's inequality using Jensen's inequality.

(b) Suppose that $(E, \mathcal{E}, \mu)$ is a finite measure space. Show that if $1<q<p$ and $f \in L^{p}(E)$ then $f \in L^{q}(E)$. Give the definition of $\|\cdot\|_{L^{\infty}}$ and show that $\|f\|_{L^{p}} \rightarrow\|f\|_{L^{\infty}}$ as $p \rightarrow \infty$.

(c) Suppose that $1<q<p<\infty$. Show that if $f$ belongs to both $L^{p}(\mathbb{R})$ and $L^{q}(\mathbb{R})$, then $f \in L^{r}(\mathbb{R})$ for any $r \in[q, p]$. If $f \in L^{p}(\mathbb{R})$, must we have $f \in L^{q}(\mathbb{R})$ ? Give a proof or a counterexample.