This Demonstration simulates a random walk of a particle constrained within a square. An impermeable wall divides the square into two equal parts and has a central opening that lets the particle move between the two halves.
The particle starts at the red locator and ends at the green circle; you can drag the red locator.
Each successive step of the particle is a vector with standard normal components. This results in the angle following a uniform distribution and the norm following a Rayleigh distribution.