This is false. Think about it this way. A random walk is a martingale - you're expectation of where you'll be in the future is. So you're right that, before you

This is false. Think about it this way. A random walk is a martingale - you're expectation of where you'll be in the future is. So you're right that, before you start the walk, they have expectation of being at 0 at any time in the future. But the variance of your probability distribution of where you'll be at time t is linear in t. So say that your variance is v(t)=t. Then at t=1, there is a 32% chance that you'll be outside of the range (-1,1). As you can see, as t increases, you expected to drift further than further. So while the expectation of x(t) may be 0 for all time, the expectation of |x(t)| scales like sqrt(t) (the standard deviation of the distribution).