Does anyone remember a movie about four mathematicians studying infinity, who ended up committing a suicide? It was aired online somewhere, and I can't find it (it's a documentary, if that helps).
Are you talking about Dangerous Knowledge by BBC? Though it's not quite about four mathematicians (at least one of the people was physicist), and not all of them were studying infinity directly. That's the only one that comes to my mind as I watched it a couple of weeks ago.
Dangerous Knowledge it is!
Cantor - Infinity
Boltzmann - Entropy
Godel and Turing - Logic