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Let $\{a_n\}_{n\geq 0}$ be a sequence of integers given by the rule $a_{n+1}=2a_n+1$, Does there exists a value for $a_0$ for which the sequence consists entirely of prime numbers.

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No. Mod any odd prime $p$, the sequence is periodic with period at most $p-1$. If $p$ is a prime divisor of $a_1$, $a_n$ will again be divisible by $p$ (and thus not prime) for some $n$ with $2 \le n \le p$.

Robert Israel
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