[step:Show that the reachable set is closed in $U$]
Let $x\in U$ belong to the closure $\overline{C}^{\,U}$ of $C$ relative to the [subspace topology](/page/Subspace%20Topology) on $U$. Since $U$ is open, choose $r>0$ such that $B(x,r)\subset U$. Because $x\in \overline{C}^{\,U}$, the relative neighbourhood $B(x,r)\cap U$ intersects $C$. Since $B(x,r)\subset U$, there exists $y\in C\cap B(x,r)$.
By definition of $C$, there exists a continuous map $\gamma:[0,1]\to U$ such that $\gamma(0)=a$ and $\gamma(1)=y$. Define
\begin{align*}
\sigma_x:[0,1]\to \mathbb{R}^n,\qquad \sigma_x(t)=(1-t)y+tx.
\end{align*}
For every $t\in[0,1]$,
\begin{align*}
|\sigma_x(t)-x|=|(1-t)(y-x)|=(1-t)|y-x|<r,
\end{align*}
so $\sigma_x([0,1])\subset B(x,r)\subset U$. Define
\begin{align*}
\eta_x:[0,1]\to U
\end{align*}
by
\begin{align*}
\eta_x(t)=\gamma(2t) \quad \text{for } 0\leq t\leq \frac{1}{2},
\end{align*}
and
\begin{align*}
\eta_x(t)=\sigma_x(2t-1) \quad \text{for } \frac{1}{2}\leq t\leq 1.
\end{align*}
The two formulas agree at $t=\frac{1}{2}$ because $\gamma(1)=y$ and $\sigma_x(0)=y$. By the pasting property for continuous maps on the closed subintervals $[0,\frac{1}{2}]$ and $[\frac{1}{2},1]$, the map $\eta_x$ is continuous. Moreover $\eta_x(0)=a$ and $\eta_x(1)=x$, so $x\in C$. Therefore $C$ contains its relative closure in $U$, so $C$ is closed in $U$.
[/step]