Let $K$ be a compact subset of $\mathbb{R}^d$, star-shaped around the origin. That is, if $y\in K$ and $0\leq t\leq1$ then $ty\in K$.
Given such $K$ and for each $t>0$, let $K_t$ denote the compact subset $\{ty\colon y\in K\}$. The sets $\{K_t\colon t\geq0\}$ are nested, shrinking to the origin as $t$ decreases to zero. We can define a function $\rho\colon\mathbb{R^d}\to\mathbb{R}_+$, by $\rho(x) := \inf\{t>0\colon x\in K_t\} = \inf\{t>0\colon x/t\in K\}$. It can be shown that $\rho(tx) = t\rho(x)$ for each $t\geq 0$ and $\{x\colon\rho(x)=1\}\subseteq(\partial K)\backslash\{0\}$. We can then define a map from $\mathbb{R}^d$ to $\mathbb{R}^d$ by $$ \psi(x) := \begin{cases} x/\rho(x), & x\neq 0, \\ 0, & x = 0. \end{cases} $$ For $x\neq 0$, $\psi(x)$ lies in $\partial K$ because $\rho(\psi(x)) = \rho(x)/\rho(x) = 1$.
My question is, how can we show that $\psi(x)$ is $\mathcal{B}(\mathbb{R}^d)\backslash\mathcal{B}(\mathbb{R}^d)$-measurable?