The following is problem 3.22 from Rudin's Princples of Mathematical Analysis:
Suppose $X$ is a nonempty complete metric space, and $\{G_n\}$ is a sequence of dense open subsets of $X$. Prove Baire's theorem, namely, that $\bigcap_{n=1}^\infty G_n$ is not empty. Hint: find a shrinking sequence of neighbourhoods $E_n$ such that $\overline{E}_n\subset G_n$.
Here's what I've tried so far:
Let $\{r_n\}$ be a Cauchy sequence of positive real numbers converging to $0$. Fix $x\in X$ and define $E_i=\{g\in G_i:d(g,x)<r_i\}$, which is nonempty since $G_i$ is dense. I would like to show that for all $i$, $\overline{E}_i\subset G_i$ (I had convinced myself that this would be true but I am now having doubts). Let $e\in \overline{E}_i$. Then either $e\in E_i$ or $e$ is a limit point of $E_i$. If $e\in E_i$ then $e\in G_i$. Otherwise, every neighbourhood of $e$ contains a point in $E_i$.
I thought that I should be able to then choose some point $e'\in E_i$ in a neighbourhood of $e$ and, since $G_i$ is open, it'll have a neighbourhood $N\subset G_i$ which contains $e$, but this is proving to be difficult and I'm worried that it's not true. If I can show that this is true then the rest will follow from results I've already proven.
Does my approach make any sense?
Incidentally, as a secondary question, what type of a thing would $G_n$ be? A sequence of dense open subsets seems weird to me—at first I was thinking of some sequence of infinite subsets of rational numbers in the real numbers but I realized that those aren't open. Is there anything which would be familiar to my little undergrad brain which would be analogous to this problem?
Best Answer
It would probably be easier to start as follows: Notice that the $G_i$ being dense and open guarantees that $G_1 \cap G_2 \neq \emptyset$. Now choose an $x$ in so that there is a ball $E_1$ in completely contained in the intersection. Shrinking the ball if necessary, you can assume that $\overline{E_1}$ is completely contained in the intersection. Now the intersection of $E_1$ with $G_3$ is non-empty and so you can choose some $\overline{E_2}$ completely contained in $E_1 \cap G_3$ and hence in $E_1$. If you go on like this, you will have a decreasing (with respect to containment) sequence of closed and bounded sets which has non-empty intersection.
Now how do you prove this last assertion? You can either use the theorem in chapter 2 on intersection of compact sets (notice the nested bit guarantees that the intersection of finitely many of them is non-empty) or you can go straight up from the definition of sequential compactness.