Math_QED said:
I fail to see what's tricky:
##x \in \liminf A_n \iff \exists n_0: \forall n \geq n_0: x \in A_n##
##\implies \forall n \geq 0: \exists m \geq n: x \in A_n \iff x \in \limsup A_n##
That's not quite right. If x is in the limit inferior then x is in at least one infinite intersection for some n.
So what you have show is that for some n, if x lies in the infinite intersection of $$A_k| k\geq n$$ then $$x\in \bigcup_{k=n}^{\infty}(A_k)$$ Now the limit superior consists of elements that are common
to all infinite unions. That is, $$x \in lim \sup \leftrightarrow x\in \bigcap_{n=1}^{\infty}(\bigcup_{k=n}^{\infty}A_k) $$ So you must show that every infinite union contains x for x to belong to the limit superior.
Here's how I did it:
$$ x\in lim\ sup(A_n)\leftrightarrow (\forall n)(\exists r\geq n )| x \in A_r $$
And so, $$ (\forall n)(!\exists r\geq n )| x \in A_r \leftrightarrow x \notin lim \ sup(A_n)$$
Also, $$
(\forall n)(!\exists r\geq n )| x \in A_r \leftrightarrow (\forall n)(\forall r\geq n )\ x\notin A_r
\Rightarrow (\forall n) x \notin \bigcap_{k=n}^{\infty}(A_k)\leftrightarrow x \notin lim\inf(A_n) $$
Thus, $$x \notin lim \sup(A_n) \Rightarrow x \notin lim \inf(A_n)$$ And it follows that
$$x \in lim\inf(A_n) \Rightarrow x \in lim\sup(A_n) \ (modus \ tollens)$$
Therefore,
$$ lim\inf(A_n) \subseteq lim\sup(A_n) $$
I initially attempted to prove what was written in the book(A course in Real Analysis ~ McDonald) which stated that the limit inferior is a proper subset of the limit superior, but I had some doubts about that doing the proof and your counterexample shows the falsity of that statement. But you're right that the axiom of choice is unnecessary to show that lim inf =< lim sup.