A recent line of works studied wide deep neural networks (DNNs) by approximating them as Gaussian Processes (GPs). A DNN trained with gradient flow was shown to map to a GP governed by the Neural Tangent Kernel (NTK), whereas earlier works showed that a DNN with an i.i.d. prior over its weights maps to the so-called Neural Network Gaussian Process (NNGP). Here we consider a DNN training protocol, involving noise, weight decay and finite width, whose outcome corresponds to a certain non-Gaussian stochastic process. An analytical framework is then introduced to analyze this non-Gaussian process, whose deviation from a GP is controlled by the finite width. Our contribution is three-fold: (i) In the infinite width limit, we establish a correspondence between DNNs trained with noisy gradients and the NNGP, not the NTK. (ii) We provide a general analytical form for the finite width correction (FWC) for DNNs with arbitrary activation functions and depth and use it to predict the outputs of empirical finite networks with high accuracy. Analyzing the FWC behavior as a function of $n$, the training set size, we find that it is negligible for both the very small $n$ regime, and, surprisingly, for the large $n$ regime (where the GP error scales as $O(1/n)$). (iii) We flesh out algebraically how these FWCs can improve the performance of finite convolutional neural networks (CNNs) relative to their GP counterparts on image classification tasks.