The story seems to originate with George Dantzig, who went on to become inventor of the simplex algorithm:
“...during my first year at Berkeley I arrived late one day at one of [Jerzy] Neyman's classes. On the blackboard there were two problems that I assumed had been assigned for homework. I copied them down. A few days later I apologized to Neyman for taking so long to do the homework — the problems seemed to be a little harder than usual... About six weeks later... [my wife] Anne and I were awakened by someone banging on our front door. It was Neyman. He rushed in with papers in hand, a…