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As humans we live at what scientists call a "standard temperature and pressure": most scientific data is reported at about 77°F and 1 atmosphere (760 mmHg). To help clarify the difference between a vapor and a gas, lets examine the behavior of matter at a fixed temperature. At a single temperature, we define a vapor as a gas that can be liquefied by changing the pressure at this temperature (i.e. water vapor, or steam, condensing into liquid water). A "true" gas, will remain a gas and not liquefy no matter what the pressure at this temperature (the "critical temperature"). The critical temperature for water is 705°F (can be liquid or vapor at 77°F), the critical temperature for propane is 207°F (can be a liquid or vapor at 77°F), and the critical temperature for Oxygen is -181°F (is a gas at 77°F).
Now for candle wax. The critical temperature for wax is 896°F-1130°F. Candle wax does not become a gas under normal use; it becomes a vapor. Hydrocarbons, the chemical components of wax, in their solid and liquid states do not burn, it is the vapors that burn. When you light the wick on the candle you initially burn the cotton (at a temperature of 460°F). The heat of the burning cotton causes the wax to melt, the liquid wax is drawn up the wick and the heat from the flame produces vapor (this vapor is in equilibrium with the liquid wax, like water in the air). The vapor ignites at about the same temperature as the flame, thus feeding the fire. This is why the wick is not consumed any further than the initial lighting, the fire is burning the wax vapor instead. Not all of the wax vapor is burned, the flame is generally small, so some vapor and wax aerosol (a suspension of liquid or solid particles in air) escapes unscathed. You can sometimes see this wax aerosol as it is carried away from the candle by thermal convection (it is most pronounced when you blow out the candle and see a faint white wisp floating in the air). You can also smell the vapor: the smell associated with burning unscented candles is often the smell of vapor from paraffin wax. That vapor is carried by the thermal convection generated by the candle and floats in the air in a metastable state; a change in temperature or pressure could either make it a gas or condense it to a liquid. Raising the temperature of the vapor would make it a gas, but the ignition temperature of wax is low enough that in air, a high concentration of vapors would ignite before turning into gas. As wax vapor is burned it turns into soot (amorphous carbon particles) that is also carried away by thermal convection (smoke) and sometimes left as a black residue after combustion. At room temperature and pressure the unburned vapor from the wax cools and condenses. Often those who use lots of candles find that the walls and ceilings can be covered in wax from the collection and condensation of this wax vapor. I never did get my security deposit back on my first apartment thanks to the wax vapor from candles.
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