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There are plenty of stories flying around of people having been in a coma, but able to hear the outside world. They usually include either hearing malicious things said by staff, or encouragement by loved ones. Are any of these cases recorded and verified, not just apocryphal?

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Changed your tags and "proven" to "verified" (since some unnecessary epistemological concerns may arise from strong interpretations of "proof"). My edits weren't essential though, so feel free to revert if you object to anything. Was tempted to add the sleep tag, but probably don't want to conflate sleep with coma states... – Nick Stauner Mar 27 '14 at 7:54
@NickStauner Perfect! I was trying to think of a better word than "proven", and that fit the bill excellently. – IQAndreas Mar 27 '14 at 8:00
Monti, M.M., et al (2010). Willful modulation of brain activity in disorders of consciousness. The New England Journal of Medicine, 362(7), 579-589.… – honi May 27 '14 at 19:48

Here's a study on Brain Response to One's Own Name in Vegetative State, Minimally Conscious State, and Locked-in Syndrome:

Background A major challenge in the management of severely brain-injured patients with altered states of consciousness is to estimate their residual perception of the environment.

Objective To investigate the integrity of detection of one's own name in patients in a behaviorally well-documented vegetative state (VS), patients in a minimally conscious state (MCS), and patients with locked-in syndrome.

Design We recorded the auditory evoked potentials to the patient's own name and to 7 other equiprobable first names in 15 brain-damaged patients.

Results A P3 component was observed in response to the patient's name in all patients with locked-in syndrome, in all MCS patients, and in 3 of 5 patients in a VS. P3 latency was significantly (P<.05) delayed for MCS and VS patients compared with healthy volunteers.

Conclusions These results suggest that partially preserved semantic processing could be observed in noncommunicative brain-damaged patients, notably for the detection of salient stimuli, such as the subject's own name. This function seems delayed in MCS and (if present) in VS patients. More important, a P3 response does not necessarily reflect conscious perception and cannot be used to differentiate VS from MCS patients.

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