What does $\mathbb Z$ \ $2 \mathbb Z$ mean?

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Lately I've taken some interest towards prime number generation.

Apparently this is also a way to express the set of all odd numbers?

$\mathbb Z$ \ $2 \mathbb Z$

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the \ symbol means "set-minus" (removing all elements of a set from the elements of a larger set). So this means all integers minus all integers that are multiples of 2, i.e. all integers minus even integers, which is the set of all odd integers.