In this chapter we study the first example of a correlated memoryless phenomenon: the famous “drunkard’s walk”, formally termed the random walk. We begin from a very simple case, in a homogeneous and isotropic space on a discrete hypercubic lattice. Then we add traps here and there. Eventually we make a foray into the continuous regime, with the Fokker–Planck diffusion equation (which, we see, is what physicists call a Schrödinger equation in imaginary time), and the stochastic differential Langevin equation.