What will happen with links to a question if that question is migrated from SO to Mathematica.SE? Will they break, or will they automatically be redirected?
And does that depend on whether the URL from the address bar is copied, or the URL from the dedicated "link" box?
There's an automatic redirect enabled. Consider the following two links:
https://stackoverflow.com/questions/8461814/what-are-some-useful-undocumented-mathematica-functions
The first is the link as found on Stack Overflow, and it automatically redirects to mathematica.se. The second link is found on the mathematica.se version which links back to the portion of the question remaining on stackoverflow. Since you normally do not include the ?noredirect=1 on the end of your links, any SE system links in a migrated post will still be valid after migration.
This redirection works even if the migrated question has been deleted at the source site (as you can see from the second link, which won't be visible unless you have 10k on SO).
