That's how I tried, is this valid ?
An open interval in $\mathbb{R}$ assumes one of the following forms: $(-\infty,a)$, $(b,\infty)$, $(c,d)$ or $(-\infty,\infty)$.
Since $(-\infty,a)\subset(-\infty,\infty)$, $(b,\infty)\subset(-\infty,\infty)$ and $(c,d)\subset(-\infty,\infty)$, their intersections are going to be open intervals. Therefore, we only need to verify these intersections: $(-\infty,a)\cap(b,\infty)$, $(-\infty,a)\cap(c,d)$ and $(b,\infty)\cap(c,d)$.
Case $(-\infty,a)\cap(b,\infty)$:
Assume $b<a$.
If $x\in(-\infty,a)\cap(b,\infty)$, then $x<a$ and $x<b$. Then $b<x<a$, so $x\in(b,a)$. Since x was arbitrary, we've shown that $(b,a)\subset(-\infty,a)\cap(b,\infty)$. Now, if $x\in(b,a)$, then $b<x<a$. From this, $x<a$, then $x\in(-\infty,a)$. Also, $b<x$, then $x\in(b,\infty)$. Therefore, $x\in(-\infty,a)$ and $x\in(b,\infty)$. So, $x\in(-\infty,a)\cap(b,\infty)$. Since x was arbitrary, we've shown that $(-\infty,a)\cap(b,\infty)\subset(b,a)$. Finally, $(-\infty,a)\cap(b,\infty)=(b,a)$, with $(b,a)$ an open interval.
Assume $a<b$.
If $x\in(-\infty,a)\cap(b,\infty)$, then $x<a$ and $x<b$. Then $b<x<a$, so $b<a$. But $a<b$, therefore $(-\infty,a)\cap(b,\infty)=\emptyset$.
Case $(-\infty,a)\cap(c,d)$:
Assume $d<a$.
In this case $(c,d)\subset(-\infty,a)$ and then $(-\infty,a)\cap(c,d)=(c,d)$
Assume $c<a$ and $a<d$
If $x\in(-\infty,a)\cap(c,d)$, then $x<a$ and $c<x<d$. Then $x<a$ and $c<x$ and $x<d$. Then $c<x<a$ and $x<d$. Then $x\in(c,a)$. Since x was arbitrary, we've shown that $(c,a)\subset(-\infty,a)\cap(c,d)$. Now, if $x\in(c,a)$, then $c<x<a$. Then $x\in(-\infty,a)$. Also, since $a<d$, $c<x<a<d$, then $c<x<d$. Therefore $x\in(c,d)$. Then $x\in(-\infty,a)$ and $x\in(c,d)$. This way $x\in(-\infty,a)\cap(c,d)$. Since x was arbitrary, we've shown that $(-\infty,a)\cap(c,d)\subset(c,a)$. Finally $(-\infty,a)\cap(c,d)=(c,a)$, with $(c,a)$ an open interval.
Assume $a<c$ and $a<d$.
If $x\in(-\infty,a)\cap(c,d)$, then $x<a$ and $c<x<d$. Then $x<a$ and $c<x$ and $x<d$. Then $c<x<a$ and $x<d$. Then $c<a$. But $a<c$, therefore $(-\infty,a)\cap(c,d)=\emptyset$.
Case $(b,\infty)\cap(c,d)$:
Assume $b<c$.
In this case $(c,d)\subset(b,\infty)$ and then $(b,\infty)\cap(c,d)=(c,d)$
Assume $c<b$ and $b<d$.
If $x\in(b,\infty)\cap(c,d)$, then $b<x$ and $c<x<d$. Then $b<x$ and $c<x$ and $x<d$. Then $b<x<d$ and $c<x$. Then $x\in(b,d)$. Since x was arbitrary, we've shown that $(b,d)\subset(b,\infty)\cap(c,d)$. Now, if $x\in(b,d)$, then $b<x<d$. Then $x\in(b,\infty)$. Also, since $c<b$, $c<b<x<d$, then $c<x<d$. Therefore $x\in(c,d)$. Then $x\in(b,\infty)$ and $x\in(c,d)$. This way $x\in(b,\infty)\cap(c,d)$. Since x was arbitrary, we've shown that $(b,\infty)\cap(c,d)\subset(b,d)$. Finally $(b,\infty)\cap(c,d)=(b,d)$, with $(b,d)$ an open interval.
Assume $c<b$ and $d<b$.
If $x\in(b,\infty)\cap(c,d)$, then $b<x$ and $c<x<d$. Then $b<x$ and $c<x$ and $x<d$. Then $b<x<d$. So, $b<d$. But $d<b$, therefore $(b,\infty)\cap(c,d)=\emptyset$.
Let $I_1=]a_1,b_1[$ and $I_2=]a_2,b_2[$
It is enough to look at the case $I_1\cap I_2\ne \emptyset$. If $x\in I_1\cap I_2\ne \emptyset$ then there is an open interval $J_1=]x-\epsilon_1,x+\epsilon_2[$ contained in $ I_1$ and an open interval $J_2=]x-\epsilon_3,x+\epsilon_4[$ contained in $I_2$ where the four epsilons are positive. Taking $\alpha=\max\{\epsilon_1,\epsilon_3\}$ and $\beta=\min\{\epsilon_2,\epsilon_4\}$ we get the open interval $]x-\alpha,x+\beta[$ contained in $I_1\cap I_2$. We are done for bounded open intervals and similar reasoning for unbounded ones.