This classic sauce was invented somewhere in the 19th century, supposedly to honor the Roman Goddess Daine, Goddess of the hunt. The original recipe called for Venison, but has adapted over time to include Filet Mignon. It came to America in the 1930's, and was popularized in the '40s and '50s as a table side prepared dish due to it being flambeed with cognac right in front of customers.