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This description
assumes an understanding of Interference
and Diffraction.
Go and check it out if you haven't already.
When you
think about light as a collection of photons, the bands created
on a screen when you shine a light through a diffraction grating
actually represent the statistical probability that a photon will
hit that part of the screen.
This is
easier to understand if you allow only a few photons through to
the slits. If you only have one slit, the screen would look like
this:

The photons will hit the screen mostly in the direct line of sight
from the slit. Thus, the probability is higher that a photon will hit
in the direct line of sight of the slit than in places far away from the slit.
If you have
two slits, the probability changes because of interference:

A higher concentration of
photons exists at the bands.
But what
if you only let one photon at a time go through a two slit grating?
You would expect the scatter of photons on the screen to look like
the scatter from a one slit grating, since a single photon has nothing
to interfere with. After all, if a single photon goes through one
slit, how can it "know" that the other slit even exists?
But, to
the great surprise of quantum physicists, the scatter of the photons
let through one at a time is identical to the scatter of the photons
let through all at once! The photon did somehow "know"
about the other slit. So which slit does a single photon go through?
The answer is the photon goes through both slits at the same time.
The photon(according to modern theory) becomes two ghost photons,
allowing a single photon to interfere with itself. Hard to imagine?
You're in good company.
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