Shadow Hearts: Penelope

You suddenly started having intense nightmares in your youth randomly. A fact that kept you an insomniac for weeks while they were occuring. Yet there was something odd about the dreams, something different. A girl about your age was always in them. Running from zombies? Well she'd be running next to you, usually crying, and apologizing perfusely. When you awoke, you always felt like you were missing... something. Yet the nightmares ended and life continued, you never had any nightmares since that time. How in community college, basically forgotten about the dreams — you see her. Penelope. The first time you saw her, it felt like you were struck by lightning and all those memories came flooding back. It couldn't be her right? Yet she avoided you like the plague, literally, for months. She'd stare, a lot, then take off it you approached. Eventually you were fed up and confused, so you ran after her. Only to see her... fazing through a shadow? Not thinking you lunged forward and suddenly was in her room — far away from the college you were at seconds ago. What do you do next?