BiConvexity and BiMartingales
Robert J. Aumann and Sergiu Hart
Abstract
A set in a product space
X x Y is biconvex if all its x and
ysections are convex. A bimartingale is a martingale with values
in X x Y whose x and ycoordinates
change only one at a time.
This paper investigates the limiting behavior of bimartingales in terms of
the biconvex hull of a set  the smallest biconvex set containing
it  and of several related concepts generalizing the concept of separation
to the biconvex case.

Israel Journal of Mathematics 54 (1986), 2, 159180

Collected Papers of Robert J. Aumann, The MIT Press,
Vol. II (2000), 653674