Recently Neil Sloane (curator of the OEIS) sent a message to the NMBRTHRY mailing list re. the sequence
A007908:
Quote:
From: Neil Sloane [email redacted to thwart sitescrapers]
Date: September 29, 2015 6:16:17 PM PDT
Subject: lovely open problem
To Number Theory List,
Consider the sequence with nth term equal to the
concatenation of the decimal numbers 1234...n (https://oeis.org/A007908).
When is the first prime? The comments in A007908 say
that there should be infinitely many primes, and that there
are no primes among the first 64000 terms.
If you would like to help with this search, you could leave a comment
in A007908 saying that there are no primes among terms X through Y,
or, of course, that n = Z gives a (probable) prime, which would be
pretty exciting.
Best regards
Neil

Based on the sequence comments, I see our own Charles Greathouse has done some work on the above.
Observations:
1. Based on the trivial observation that only terms ending in 1,3,7,9 have chance of being prime, of the first (say) 100 sequence terms, only 40 can possibly be prime, but in fact less than half of the 40 can be prime because
2. ...at least 2 of every 1/3/7/9ending quartet are divisible by 3, and for some quartets every member is divisible by 3. Specifically the divisibility pattern for such 1/3/7/9ending quartets is in the form of repeating triplets (where 0 indicates != 0 (mod 3), 1 indicates divisible by 3) ...0101 1010 1111..., thus precisely 4 of every 30 sequence terms starting with the first 30 can possibly be prime. (This is not terribly difficult to prove, but I'll let readers confirm it for themselves, as it's a fun little bit of maths.)
3. The factorizations of the remaining notdivby3 terms appear to be 'random', i.e. modelable by the statistics of randomly chosen odd integers of similar size.
4. Using [13] plus a few more simple observations and some basic number theory we can generate an expected number (or density, if one prefers) of primes for the sequence. However when I do this I get a result which is somewhat at odds with Charles' comment in the notes:
Quote:
I checked that there are no primes in the first 5000 terms. Heuristically there are infinitely many, about 0.5 log log n through the nth term.

(I PMed CRG about the math behind his estimate but got no reply as yet.)
Here is what I get:
The odds of a randomly selected odd integer x being prime is ~2/ln(x) ... summing this for the oddsnotdivisibleby3 for terms 130, 3160 and 6190, &c, each of which intervals contains 4 possiblyprime terms, we get the expected #primes for the first few of said intervals to be:
1 30: 0.22749
31 60: 0.05150
61 90: 0.02700
91120: 0.01809
121150: 0.01242
151180: 0.00939
181210: 0.00755
I did the above by hand (assisted by Pari) ... at this point in order to investigate the convergence (or not) of the estimated #primes I wrote some simple Pari code for playing with this sequence  uncomment the if(isprime...) code snip just below the update of nexpect if you want to check for prime terms, at the cost of drastically increased runtime:
Code:
ilog10 = 1/log(10);
n = 1; i = 2; nexpect = 0.;
while(i < 1000000,\
ndd = ceil(log(i+0.5)*ilog10); /* Need + 0.5 so e.g. ndd(100) comes out = 3 rather than 2 */\
pow10 = 10^ndd;\
n = pow10^2*n + pow10*i + (i+1);\
if(i%1000 == 0,\
print("i = ",i,"; nexpect = ",nexpect);\
);\
if(i%10 != 4, /* Skip terms divisible by 5 */\
if(n%3 != 0, /* Skip terms divisible by 3 */\
nexpect += 2/log(n);\
/* if(isprime(n),\
print("i = ",i+1,": n prime!");\
); */\
);\
);\
i += 2;\
);\
(Hit <return> after pasting into a Pari shell to begin execution, and type 'nexpect' on loop exit to see the final value.)
Here are the results for successive powers of 10 from 10^3 to 10^6  I use logarithmically constant increments here because if the resulting increments in the expectation value decrease from one power of 10 to the next we at least have hope that there may be a limit at infinity:
10^3: 0.4206922620678406265572242819
10^4: 0.4959359595134930290178514034
10^5: 0.5545675055579183966439241436
10^6: 0.6026039035873964125108005995
One might expect the summation to diverge as n > oo based on divergence of the harmonic series  note that even knocking out fixed patterns of terms from the harmonic as we do here using divisibility patterns  does not alter the divergence property.
The reason I think the present summation may in fact converge is that due to increasing digit length of the appended numbers, the terms grow faster than log(T_n) ~ n. Thus, rather than the expected #primes being given by a harmonic sum(1/n), which diverges, it is rather given by something which is perhaps like sum(1/n^a) (a.k.a. the pseries or hyperharmonic series) or sum(1/(n * log(n)^a)) (a.k.a. the lnseries, where the summation starts at n = 2 rather than n = 1) with a > 1, both of which converge for all a > 0. Actually, on second thought, considering the logarithmic growth rate of appended numbers, perhaps log(T_n) ~ n log(n) (i.e. the expectation value governed by the lnseries with a = 1, which does in fact diverge, albeit slowly) is the correct asymptotic estimate.
However, even if the sum does diverge, it does so sufficiently slowly that the absence of primes in the ranges tested to date should not be surprising.
It's certainly an interesting problem, in any event  comments, corrections, further insights appreciated!