In order to prove that the following language is regular, would I use a pumping lemma?
The set $A$ of all strings that are substrings of some string in $L$, where $L \subseteq\Sigma^*$. $L$ Must be regular.
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Here's a hint. Since $L$ is regular, there is a finite automaton $M$ that accepts all and only those strings in $L$. Suppose you only wanted those substrings that start with the same character as a string in $L$. Could you somehow modify $M$ (perhaps by making some states final) so that it would accept all substrings starting with the same character as a string accepted by $L$?
Having done that, could extend this (perhaps with $\epsilon$-moves) so that you could jump from the start state of $M$ to a string along an accepting path in $M$?