Bi-convexity and bi-martingales
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A set in a product spaceX×Y isbi-convex if all itsx- andy-sections are convex. Abi-martingale is a martingale with values inX×Y whosex- andy-coordinates change only one at a time. This paper investigates the limiting behavior of bimartingales in terms of thebi-convex hull of a set — the smallest bi-convex set containing it — and of several related concepts generalizing the concept of separation to the bi-convex case.
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