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I said it does not exist because $\sin(n^2\pi/2)$ oscillates back and forth as $n$ approaches infinity. Am I correct?

Théophile
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As suggested in the comments, we can construct two subsequences with two different limits. Let $s_n:=\sin(n^2 \pi/2)$, $a_n:=s_{2n}$, $b_{n}:=s_{2n+1}$ for all $n\geq 0$. Then $a_n=0$ for all $n$, and hence $a_n\to0$, while $b_n=1$ for all $n$, and hence $b_n\to1$. Therefore, there are two convergent subsequences with different limit, and thus the limit for $s_n$ does not exist.

On the why the limit does not exist, see here.

Monte Carlo
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