Are random random walks normal?

Abstract: Given a symmetric simple random walk $(X_n)<em>{n \ge 0}$, the family of all symmetric simple random walks $(Y_n)</em>{n \ge 0}$ adapted to the filtration of $(X_n)<em>{n \ge 0}$ was studied in Collevecchio et al. (2022). In particular, the authors established necessary and sufficient conditions under which the suitably normalized two-dimensional process $((X_n, Y_n))</em>{n \ge 0}$ converges weakly to a two-dimensional Brownian motion. When this occurs, we say that the random walk $(Y_n)<em>n$ is normal (with respect to $(X_n)_n$). In this paper, we investigate whether a "randomly selected" $(Y_n)</em>{n \ge 0}$ is normal. We consider a very general randomization procedure and look at both the quenched and annealed settings.