Given E \subset \mathbb{R}, m^*(E) > 0, assume to the contrary that for any open interval I, m^*(E \cap I) < \alpha m(I).
By the definition of the outer measure, we know that \forall \epsilon > 0 \exists \lbrace Q_k \rbrace_{k=1}^\infty such that E \subset \bigcup_{k=1}^\infty Q_k, and:
\sum_{k=1}^\infty |Q_k| \leq m^*(E) + \epsilon
Next, define \lbrace \mathcal{O}_k \rbrace_{k=1}^\infty to be open intervals s.t. Q_k \subset \mathcal{O}_k for all k, and m(\mathcal{O}_k)) = m(Q_k) + \frac{\epsilon}{2^k}. (Note, this can always be done by adding \frac{\epsilon}{2^{k+1}} to each side of the interval Q_k.)
We constructed \lbrace \mathcal{O}_k \rbrace_{k=1}^\infty with the following property in mind (\dagger):
\sum_{k=1}^\infty m(\mathcal{O}_k) \leq \big(\sum_{k=1}^\infty m(Q_k)\big) + \epsilon \leq m^*(E) + 2\epsilon
Now, just observe that E \subset \bigcup_{k=1}^\infty \mathcal{O}_k, so, by (\dagger):
m^*(E) \leq \sum_{k=1}^\infty m^*(E \cap \mathcal{O}_k) \leq \alpha \sum_{k=1}^\infty m(\mathcal{O}_k) \leq \alpha(m^*(E) + 2\epsilon)
So finally, we finally arrive at the result:
m^*(E) \leq \alpha m^*(E)
Which, of course, gives that m^*(E) = 0... a contradiction.
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