If photons are little particles emitted by atoms, where were they before they got emitted?
Eisntein showed that in his theory of relativity that energy and mass were no longer conserved, as they are in Newton's theory. This completely changes how we see particles. They are no longer fundamental building blocks that are solid little balls; they pop in and out of existence and should no longer be seen as fundamental. There is no problem with me starting with a bundle of protons, neutrons and electrons and ending up with a bundle of photons, protons, neutrons and electrons.
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