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Given the system of closed arcs from the same circle, with length smaller than half circumference of that circle. If every three arc from that system have non-empty intersection, then intersection of all arcs is non-empty. How can I prove this? How can Helly's theorem be applied to this?

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I'm not sure if Helly's theorem can be directly applied, but the proof for this is practically the same. Since there is nothing to prove in the three-arc case, consider the four arcs $\{a_1,\,a_2,\,a_3,\,a_4\}$ on the circumference of the circle in $\mathbb{R}^2$. Since every three-arc intersection is given to be nonempty, pick a point in each intersection denoted by:

$$v_1 \in a_2 \cap a_3 \cap a_4 \qquad v_2 \in a_1 \cap a_3 \cap a_4\\ v_3 \in a_1 \cap a_2 \cap a_4 \qquad v_4 \in a_1 \cap a_2 \cap a_3 $$

So now we have four points along the circle. WLOG let $v_1,v_4$ be the two points farthest away and $v_2,v_3$ the other two. Define new arcs $\alpha_{14} = [v_1,v_4]$ and $\alpha_{23} = [v_2,v_3]$ connected in the direction (will always be the minor arc) so that intersection is preserved: $$\forall x \in \alpha_{14} \implies x \in a_2 \cap a_3$$ $$\forall y \in \alpha_{23} \implies y \in a_1 \cap a_4$$

Also note that by definition of our new arcs that $\alpha_{23} \subset \alpha_{14}$. Take a point $z \in \alpha_{23}$, then:

$$\begin{align*}z \in \alpha_{23}\\ z \in \alpha_{23} \cap \alpha_{14}\\ z \in \left(a_1 \cap a_4\right) \cap \left(a_2 \cap a_3\right) \\ z \in a_1 \cap a_4 \cap a_2 \cap a_3\\ z \in a_1 \cap a_2 \cap a_3 \cap a_4 \end{align*} $$

For any set of arcs greater than $4$ we can apply this nesting argument multiple times. If there are an odd number of arcs given, then $v_i$ picked that is in the middle must actually be in the intersection of all arcs.