I am trying to prove that a connected open set in $\mathbb{R}$ is path-connected. Is the following correct?
Consider an arbitrary open set in $\mathbb{R}$, $\Phi$. Choose any two points $a,b \in \Phi$, where $b>a$. I now prove the existence of a line, contained in $\Phi$, starting at $a$ and terminating at $b$.
Start at $a$. By the openness of $\Phi$, there exists $\epsilon>0$ such that $B_{\epsilon}(a) \subset\Phi$—say, $\epsilon_1$. Now, consider $a+\epsilon_1$. Again by the openness of $\Phi$, there exists some $\epsilon_2>0$ such that $B_{\epsilon_2}(a+\epsilon_1)\subset\Phi$. Note that $B_{\epsilon_1}(a) \cap B_{\epsilon_2}(a+\epsilon_1)$ is non-empty. Now, continue this construction, until a ball of the following type is constructed: $B_{x}(y)$, where $x,y$ are such that $y+x>b$. Note that this final ball is, by construction, guaranteed to be contained in $\Phi$. Also, note that the process will never arrive at a point not contained in $\Phi$, as, by connectedness, there are no gaps between $A$ and $B$.
Now, the open interval ($A$, $B$) is covered by a sequence of intersecting open balls. Further, all these balls are contained within $\Phi$. It follows that points $A$ and $B$ can be connected by a straight line contained in $\Phi$ (by connecting the central points of each of the constructed balls).
Best Answer
As student13 has shown, your proof does not work.
So let $\Phi$ be a connected open set and $a, b \in \Phi$. We claim that the path $u : [0,1] \to \mathbb R, u(t) = a + t(b-a)$, has image in $\Phi$ which shows that $\Phi$ is path-connected.
The case $a = b$ is trivial. In case $a \ne b$ we may w.l.o.g. assume that $a < b$. Assume that there exists $t \in [0,1]$ such that $u(t) \notin \Phi$.
$U = \Phi \cap (-\infty,u(t))$ and $V = \Phi \cap (u(t),\infty)$ are open subsets of $\phi$ such that $a \in U, b \in V$, $U \cup V = \Phi$ and $U \cap V = \emptyset$. This means that $\Phi$ is not connected, a contradiction.