Consider an integer random walk starting at 0 with the following conditions: 

* The first step is plus or minus 1, with equal probability.
* Every future step is: 60% likely to be in the same direction as 
the previous step, 40% likely to be in the opposite direction

What sort of distribution does this yield? 

I know that a non-momentum random walk yields a normal 
distribution. Does the momentum just change the variance, or change 
the nature of the distribution entirely? 

I'm looking for a generic answer, so by 60% and 40% above, I really 
mean **p** and **1-p**