 Solution

Suppose for a contradiction that $A\cap B=\varnothing$. Each grid point then belongs to exactly one of $A$ and $B$; colour it red in $A$ and green in $B$. By part (a), there are adjacent points $a_n\in A$ and $b_n\in B$, in either order, withThe interval $I$ is a compact set, so a subsequence of $(a_n)$ converges to some $x\in I$. Along the same subsequence $b_n\to x$. Since $A$ and $B$ are closed sets, $x\in A\cap B$, a contradiction. Hence $A\cap B\ne \varnothing$.