According to Krutetskii, the education of mathematically gifted students must be focused on the improvement of creative mathematical ability and the mathematically gifted students need to experience the research process like mathematician. Independent study is highly encouraged as the self-directed activity of highest level in the learning process which is similar to research process used by experts. We conducted independent study as a viable differentiation technique for gifted middle school students in the 3rd grade, which participated in mentorship program for 10 months. Based on the data through the research process, interview with a study participant and his parents, and his blog, we analyzed mathematical behavior characteristics of a study participant. This behavior characteristics are not found in all mathematically gifted students. But through this case study, we understand mathematically gifted students better and furthermore obtain the message for the selection and education of the mathematically gifted students and for the effective method of running mentorship program particularly.