Bi-convexity and bi-martingales

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.