Blackwell’s proof of Wald’s identity

Every once in a while you come across a mathematical argument of such incredible beauty that you feel compelled to tell the whole world about it. This post is about one such gem: David Blackwell’s 1946 proof of Wald’s identity on the expected value of a randomly stopped random walk. In fact, even forty years after the publication of that paper, in a conversation with Morris DeGroot, Blackwell said: “That’s a paper I’m still very proud of. It just gives me pleasant feelings every time I think about it.”