Let satisfying . Fix and .
Show that
defines a continuous function on .
Moreover, show that as .
First, we need to show that the convolution is well-defined. By Hölder's inequality,
for any , so for all .
For , we have
Because translation is continuous in (e.g., it is true for compactly supported smooth functions, which are dense in ), this quantity tends to as , so is continuous.
Notice that by dominated convergence,
since . Let . If is large enough, then the integral above is smaller than and so
since the second term vanishes for any fixed . Sending , we get the claim.