Infinitude of primes — the ladder
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There is no last prime
Euclid's argument is often described as producing a new prime from any finite list. It does not, and the number it builds is frequently composite — which makes the proof more interesting rather than less.
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Infinitely many of one kind
Euclid's argument produces a prime nobody had listed, and says nothing about what it looks like. Ask for infinitely many primes ending in 3, or leaving a remainder of 1 on division by 4, and the same construction has to be aimed — and for most targets nobody knows how to aim it.
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Which infinitudes are proved
The primes never stop, and neither — apparently — do the twin pairs, the primes one more than a square, or the Mersenne primes. Three of those four statements are theorems and one is not, and counting the members of each family tells nobody which.
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Every class, and in equal shares
Euclid's argument aimed at a residue class reaches some classes and stalls at others. The theorem covering all of them is Dirichlet's, its proof abandons arithmetic entirely for analysis, and what it proves is stronger than infinitude — the classes are equal, though not at any point anybody has counted.
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The sieve that cannot finish
Sifting out the composites is the oldest method in the subject and it has a ceiling nobody has raised. The reciprocals of the twin primes add to a finite number, so no argument that measures thickness can reach them — and the inclusion–exclusion every sieve truncates goes wildly wrong before it goes right.