This article explicitly constructs a Cantor set $C\subseteq[0,1]$ of measure $1/2$. The same construction can clearly be used to build a Cantor set $C(a,b)\subseteq[a,b]$ of measure $(b-a)/2$ for any $a,b\in\Bbb R$ with $a<b$.
Let $D_0=C_0=C(0,1)$. Let $\{(a_0(n),b_0(n)):n\in\Bbb N\}$ be an enumeration of the maximal open subintervals of $[0,1]\setminus D_0$, let $$C_1=\bigcup_{n\in\Bbb N}C\Big(a_0(n),b_0(n)\Big)\;,$$ and let $D_1=D_0\cup C_1$.
In general, given $C_k$ and $D_k$ for some $k\in\Bbb N$, let $\{(a_k(n),b_k(n):n\in\Bbb N\}$ be an enumeration of the maximal open subintervals of $[0,1]\setminus D_k$, let $$C_{k+1}=\bigcup_{n\in\Bbb N}C\Big(a_k(n),b_k(n)\Big)\;,$$ and let $D_{k+1}=D_k\cup C_{k+1}$.
Now let $A=\bigcup_{k\in\Bbb N}C_{2k}$ and $B=\bigcup_{k\in\Bbb N}C_{2k+1}$. $A$ and $B$ are both measure dense in $[0,1]$, since any non-empty open set in $[0,1]$ contains intervals $\big(a_{2k}(n),b_{2k}(n)\big)$ and $\big(a_{2k+1}(m),b_{2k+1}(m)\big)$ for some $k,m,n\in\Bbb N$. Moreover, $|A\cap B|$ is countable and therefore a null set so for every open $U\subseteq[0,1]$ we have $$m(U\setminus A)\ge m\big(U\cap (B\setminus A)\big)=m(U\cap B)>0\;,$$ and hence $[0,1]\setminus A$ is measure dense in $[0,1]$ as well.
Now just extend this to $\Bbb R$ by replacing $A$ by $\bigcup\limits_{n\in\Bbb Z}(A+n)$, the union of its integer translates.
You showed that $l^*(E) = \inf l^*(\mathcal{O})$ (the infimum runs over all open sets $\mathcal{O}$ containing $E$).
Suppose $E$ is of finite exterior measure -then for any $n\in \mathbb{N}$ we have an open set $\mathcal{O_n}$ such that
$$l^*(\mathcal{O_n}) \leq l^*(E)+n^{-1}<\infty$$
And since $l^*(\mathcal{O_n}) = l^*(E)+l^*(\mathcal{O_n} \setminus E)$ we have $l^*(\mathcal{O_n} \setminus E) \leq n^{-1}$ (The equality is infact a restatement of the measurability of $E$, see Equivalent Definition of Measurable set)
Taking $\mathcal{O} = \bigcap_{n=1}^\infty \mathcal{O_n}$ we have come up with a $G_\delta$ set (countable intersection of open sets) which is obviously a borel set, with the property: $$l^*(\mathcal{O}\setminus E) \leq l^* (\mathcal{O_n}\setminus E) \leq n^{-1}$$ for all $n\in\mathbb{N}$ which is the first corollary.
If $E$ is of infinte exterior measure then we denote $E_n = E \cap B(0,n)$ ($E$'s intersection with the ball of radius $n$ centered at the origin). Each $E_n$ is bounded and so has finite exterior measure (Since it obviously is encompassed within $B(0,n)$) And we may extract $G_n$ sets such that $$l^*(G_n \setminus E_n)=0$$ Putting $G=\bigcup_{n=1}^\infty G_n$ we have $$l^*(G\setminus E) = l^*\left(\bigcup_{n=1}^\infty G_n \setminus \bigcup_{n=1}^\infty E_n \right)\leq \sum_{n=1}^\infty l^*(G_n \setminus E_n ) =0$$
This shows the first corollary.
For the second: For every measurable $E^C$ we obviously have a borel set $G\supset E^C$ such that $l^*(G\setminus E^C) =0$ (Take the set from the first claim) that shows that $G\setminus E^C$ is a lebesgue measurable set as it is a null set.
Then obviously $E^C= G \setminus (G\setminus E^C)= G \cap (G\cap E)^C$. Taking completements on both sides we have:$$ E = G^C \cup (G\setminus E^C)$$
$G^C$ is again a borel set (As a completement of borel set).
As a final comment on this excercise: One notices we used 2 main properties of the Lebesgue measure:
- It is outer regular meaning that for every measurable subset $E$ , for every $\varepsilon>0$ we have an open set $\mathcal{O}\supset E$ with the property $l^*(\mathcal{O} \setminus E) \leq \varepsilon$ which we had to prove.
- It is defined on borel sets, bounded sets have finite exterior-measure.
It turns out that the second implies the first and the first property is what we actually needed. In this proof I made a slight detour (as i wasn't sure which Lebesgue measurability criterion you are using).
Best Answer
Hints:
1) $m(D \Delta (D + x))$ is a continuous function of $x$.
2) If $x$ and $y$ are Lebesgue points of $D$ and $D^c$ respectively, what can you say about $m(D \Delta (D + x - y))$?