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The proof of this theorem is by contradiction. Suppose for convex sets S and T there are elements a and b such that a and b both belong to S∩T, i.e., a belongs to S and T and b belongs to S and T and there is a point c on the straight line between a and b that does not belong to S∩T. This would mean that c does not belong to one of the sets S or T or both. For whichever set c does not belong to this is a contradiction of that set's convexity, contrary to assumption. Thus no such c and a and b can exist and hence S∩T is convex.

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Q: Intersection of two convex set is convex?
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