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A question about the proof that $(\mathbb{Z}/p\mathbb{Z})^\times$ is cyclic
The fact that $\mathbb{Z}_p^*=\left\{ k\in\mathbb{N}_1 : \gcd(k,p)=1 \right\}$ is a cyclic group was extremely useful for me many times. But I'm afraid I completely don't know how to prove that, what makes me upset. Is the proof very difficult? Is it constructive, I mean that finds a generator? From Fermat little theorem we have $\forall_{a\in\mathbb{Z}_p^*}a^{p-1}\equiv_p 1$, but $p-1$ does not have to be the smallest exponent for all $a$.