Mix warm water, sugar and yeast together and set it aside for 10 minutes. After 10 minutes the yeast mixture should be foamy.
In a mixing bowl, combined flour, salt, milk and the yeast mixture and knead into dough. Knead until the dough is smooth and it should take about 5 minutes. Set it aside for at least 3 hours or until it becomes twice its size.
Mix brown sugar, cinnamon powder and walnut together.
Divide dough into equal portions (depend on how big you want) flatten it with your hand and put about a tbsp of filling into it. Wrap it up to form into a ball. Set it aside.
Warm up a non stick pan in a medium heat, add about 2 tbsp of oil to it. Flatten the dough with your palm and pan fry the hotteok on both side until golden brown. While frying continue to flatten the dough with a spatula.