General problem area we’re addressing:
What you have heard from the users or customers, and what options do they already have in the market. Depending on which research question you're trying to answer, you want to do a quantitative/qualitative, behavioural/attitudinal research. Be aware that only the combination of multiple research initiatives tells the "truth".
Define one or more hypotheses that you want to validate, and decide how are you going to measure that validation or refutation.
Once you have developed a basic understanding of which problems your users are dealing with, it's time to start thinking about solutions. You can be inspired by these ideation exercises.
Prototyping should always be a lean way to validate your hypotheses. Just like most actions in an agile environment, the process of building a prototype should consist of converging and diverging.
Validation checks the underlying hypothesis/questions: "Where’s the evidence that this is a good thing/feature/idea to spend time, people, and money on?"
Time to prepare and transition the ideas into Product Delivery: polish what you will build and slice a concept into a prioritized list of backlog items and think about potential releases.