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Relevant wiki: Quadratic Residues - Problem Solving
If p ≡ 1 ( m o d 4 ) , then − 1 is a quadratic residue modulo p , therefore there is m ∈ Z such that m 2 + 1 is divisible by p . This shows that for p = 2 9 , 3 7 , 4 1 , the pair ( m , 1 ) will work. If p = 2 , then the obvious choice ( 1 , 1 ) works.
To see that no prime p ≡ 3 ( m o d 4 ) can divide a 2 + b 2 , note that if a and b are coprime, then at least one of them is nonzero modulo p . Assume that it is b without loss of generality, then we may multiply by the square of its inverse to get that ( a b − 1 ) 2 + 1 ≡ 0 ( m o d p ) so that − 1 is a quadratic residue modulo p . This is only possible if p ≡ 1 ( m o d 4 ) or p = 2 , contradiction. Therefore, the primes 2 3 , 3 1 can never divide a 2 + b 2 .
Alternatively, note that the ring Z [ i ] is factorial and primes that are 3 modulo 4 are inert, therefore a 2 + b 2 = ( a + b i ) ( a − b i ) implies that one, and therefore both, of the factors on the right hand side are divisible by p . This gives that both a , b are divisible by p , contradicting coprimality.