From February 15, 2015 - This is a video of Prince playing "Let's Go Crazy" at the SNL 40th Anniversary Show after party.
The SNL people really know how to party! According to Jimmy Fallon (at https://www.youtube.com/watch?v=lmQqYwFPkMY ) Paul jammed at the after party earlier with Dan Aykroyd and Taylor Swift, but left soon after. There were others who jammed after that, including Elvis Costello. It's a shame Paul didn't stay a little longer, because there might have been an opportunity for him to jam with Prince, and they could have played "Foxy Lady" "Helter Skelter" and "Let's Go Crazy" together! That would have been the jam of all jams!