404 page: redirect to the same address or issue a 404 error on the request address?

Question

Browsers

What is the most native and competent way to notify the user, his browser and everyone else who can knock on the web server that there is no page at this address? Always make a redirect to some single page of the domain.ru/404 type for the entire site, which is returned with a 404 response code, or leave the user/td at the address he preferred to go to, without redirecting him somewhere, and it is there to visually show the 404 error and give it to the browser / td?
It would be great if you back up your answers with the pros and cons of the two listed or some other solutions.