Are random random walks normal?

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