Can you tell me if I am sleeping ? How to wake up ?
You cannot feel pain in your sleep, so if you want to check, stab yourself with a sharp object (knife, pen, etc).
EDIT: i would also suggest leaping out of window, but that can actually be PAINLESS so screw that
It's not true, in a dream you can feel pain. Everything that happen around you feels normal. Nothing can tell you that you are dreaming unless you start to believe you are dreaming.
I would argue but I cannot find any good sources at this moment

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Even if I get mutilated in my dream I do not feel physiological pain. Be it a bitten off arm, or a shiv in my back. It's shocking, but not painful. Real pain, like cramps while you are sleeping - you will definitely feel those and and wake up to them.
You don't get to wake up from smelling things in your dreams though, like from smoke in a fire. But you may imagine smelling something during a dream sequence.
Ohhh, cool, another thing that I can help with!
You guys are giving way too complicated solutions.
The easiest way to see if you are dreaming or not is to try to flip on the lights of a room.
In dreams, there is never any variance in light, so if you tried to turn the lights on or off, nothing would happen.
If you try this during one of your dreams, don't be surprised if you end up waking up out of the excitement of discovering that you are dreaming.
If you are able to concentrate enough in a dream to try to turn a light on or off to see if you are dreaming, you are a very good candidate for lucid dreaming, which is something VERY fun!
If anyone is interested in knowing more about this, PM me.