TITLE: Does one of $L^\infty$ and $L^p, p \in (0, \infty)$ contain the other?
QUESTION [6 upvotes]: I think $L^\infty(\Omega, \mathcal{F}, \mu)\supseteq L^p(\Omega, \mathcal{F}, \mu), \forall p \in (0, \infty)$? My reason is $L^\infty$ is defined as the set of measurable functions that are bounded up to a set of measure zero, and if $f \notin L^\infty$, then there exists a subset of measure nonzero on which $|f|$ is $\infty$, so $f \notin L^p, \forall p \in (0, \infty)$. 
So I wonder why "If $\mu$ is finite, then $L^\infty(\Omega, \mathcal{F}, \mu)\subseteq L^p(\Omega, \mathcal{F}, \mu)$ for each $p$"? If we both are right, then If $\mu$ is finite, $L^\infty = L^p$? 
This is a spinoff of a reply to my earlier question.
Thanks!

REPLY [9 votes]: The general result is described here: for any measure space $(S,\mu)$, and $0\leq p<q\leq \infty$,

$L^q(S,\mu)\subseteq L^p(S,\mu)$ $\iff$ $S$ does not contain sets of arbitrarily large measure
$L^p(S,\mu)\subseteq L^q(S,\mu)$ $\iff$ $S$ does not contain sets of arbitrarily small (non-zero) measure

Therefore, in particular, for a finite measure space $(S,\mu)$ we have $L^q(S,\mu)\subseteq L^p(S,\mu)$ for all $0\leq p<q\leq \infty$.

REPLY [6 votes]: If $f$ is not in $L_\infty$, it does not follow that $\{x:|f(x)|=\infty\}$ has positive measure. For example, the function $f:(0,1)\rightarrow\Bbb R$ defined by $f(x)=1/x$ is not in $L_\infty(0,1)$.