 Solution

Put $F={\mathbb{R}}^n\setminus \Omega$. This is a closed set. First assume $F$ is nonempty. The Heine-Borel theorem makes the nonempty bounded closed set $K$ a compact set. By the preceding parts, $x\mapsto d(x,F)$ is a continuous function and is strictly positive at every $x\in K$, because $K\subset \Omega$.

The extreme value theorem gives $x_{\ast }\in K$ attaining its minimum. ThereforeThe equality with the distance between two sets follows by taking the two infima successively. Crucially, compactness supplies a point attaining the minimum; positivity at each point alone would not make an arbitrary infimum positive. This is the principle that a compact subset of an open set has positive distance from its complement.

If $\Omega ={\mathbb{R}}^n$, its complement is empty. With the usual extended-real convention $\inf \varnothing =+\infty$, the stated inequality holds in that case too.