Ante-Nicene Fathers, Vol I:
POLYCARP: Chapter V.—The departure and vision...

Chapter V.—The departure and vision of Polycarp.

But the most admirable Polycarp, when he first heard [that he was sought for], was in no measure disturbed, but resolved to continue in the city. However, in deference to the wish of many, he was persuaded to leave it. He departed, therefore, to a country house not far distant from the city. There he stayed with a few [friends], engaged in nothing else night and day than praying for all men, and for the Churches throughout the world, according to his usual custom. And while he was praying, a vision presented itself to him three days before he was taken; and, behold, the pillow under his head seemed to him on fire. Upon this, turning to those that were with him, he said to them prophetically, “I must be burnt alive.”