[step:Prove the Banach-Mazur category dichotomy for one interval]
We use the following local category dichotomy.
[claim:Banach-Mazur category dichotomy]
Let $I \in \mathcal{B}$ and let $A \subseteq \mathbb{R}$. In the game $G_I(A)$, if player I has a winning strategy, then there exists $J \in \mathcal{B}$ with $\overline{J} \subset I$ such that $J \setminus A$ is meagre in $J$. If player II has a winning strategy, then $A$ is meagre in $I$.
[/claim]
[proof]
First suppose player I has a winning strategy $\sigma$. Let $J \in \mathcal{B}$ be the first interval prescribed by $\sigma$, so $\overline{J} \subset I$. We prove that $J \setminus A$ is meagre in $J$.
Let $\mathcal{P}_\sigma$ be the countable set of all finite legal positions compatible with $\sigma$ and ending immediately after a move of player I. For $s \in \mathcal{P}_\sigma$, let $O_s \in \mathcal{B}$ denote the last interval in $s$. Define $R_s \subseteq O_s$ to be the union of all intervals $M \in \mathcal{B}$ for which there exists a legal player-II move $L \in \mathcal{B}$ after $s$ such that $M$ is the next interval prescribed by $\sigma$ after the extended position $(s,L)$.
For each $s \in \mathcal{P}_\sigma$, the set $R_s$ is open in $O_s$. It is dense in $O_s$: if $K \in \mathcal{B}$ is nonempty with $\overline{K} \subset O_s$, player II may choose a legal basic subinterval $L \subseteq K$ with sufficiently small length, and then the strategy $\sigma$ prescribes a legal response $M$ with $\overline{M} \subset L \subseteq K$. Hence $K \cap R_s \neq \varnothing$. Therefore $B_s := O_s \setminus R_s$ is nowhere dense in $O_s$ and consequently nowhere dense in $J$, since the boundary of the interval $O_s$ has empty interior in $J$.
Define
\begin{align*}
N_\sigma := \bigcup_{s \in \mathcal{P}_\sigma} B_s.
\end{align*}
Since $\mathcal{P}_\sigma$ is countable, $N_\sigma$ is meagre in $J$.
Let $x \in J \setminus N_\sigma$. Starting with the one-move position $s_0=(J)$, we have $x \in O_{s_0}$ and $x \notin B_{s_0}$, hence $x \in R_{s_0}$. Thus player II can choose a legal move after $s_0$ such that the following $\sigma$-move has last interval containing $x$. Repeating this argument at each later player-I position produces one coherent full legal play following $\sigma$ in which every chosen interval contains $x$. Because the legal length bounds tend to $0$ and the closures are nested, the unique real determined by this play is $x$. Since $\sigma$ is winning for player I, $x \in A$. Hence $J \setminus A \subseteq N_\sigma$, so $J \setminus A$ is meagre in $J$.
Now suppose player II has a winning strategy $\tau$. Let $\mathcal{P}_\tau$ be the countable set consisting of the empty initial position, together with all finite legal positions compatible with $\tau$ and ending immediately after a move of player II. For $s \in \mathcal{P}_\tau$, let $O_s := I$ if $s$ is the empty position, and otherwise let $O_s \in \mathcal{B}$ be the last interval in $s$. Define $R_s \subseteq O_s$ to be the union of all intervals $M \in \mathcal{B}$ for which there exists a legal player-I move $L \in \mathcal{B}$ after $s$ such that $M$ is the response interval prescribed by $\tau$ after the extended position $(s,L)$.
For each $s \in \mathcal{P}_\tau$, the set $R_s$ is open in $O_s$. It is dense in $O_s$: given a nonempty $K \in \mathcal{B}$ with $\overline{K} \subset O_s$, player I may choose a legal basic subinterval $L \subseteq K$ with sufficiently small length, and then $\tau$ responds with a legal interval $M$ satisfying $\overline{M} \subset L \subseteq K$. Thus $K \cap R_s \neq \varnothing$. Consequently $B_s := O_s \setminus R_s$ is nowhere dense in $O_s$ and nowhere dense in $I$.
Define
\begin{align*}
N_\tau := \bigcup_{s \in \mathcal{P}_\tau} B_s.
\end{align*}
Since $\mathcal{P}_\tau$ is countable, $N_\tau$ is meagre in $I$.
Let $x \in I \setminus N_\tau$. Starting from the empty position, the condition $x \in R_s$ at each current $\tau$-compatible position allows player I to choose a legal move whose following $\tau$-response contains $x$. Iterating gives one coherent full legal play compatible with $\tau$ in which every interval contains $x$. The nesting and length conditions force the real determined by this play to be $x$. Since $\tau$ is winning for player II, $x \notin A$. Hence $A \cap I \subseteq N_\tau$, so $A$ is meagre in $I$. This proves the dichotomy.
[/proof]
[/step]