# What are the odds of never losing in a loaded coin game?

Let's consider this simple dice game: A coin is faked so it has p chance to land on heads, and 1-p chance to land on tails. Every round costs $1, and gives you $2 if you win (for a total of +$1). Assume you're starting with $n. What are your odds to "go infinite" - be able to play the game forever? This sounds like Markov Chains 101, it's just been ages since I read anything about Markov Chains.

Also - given any constant m, what are the odds of ever reaching $m in this game? - I can answer the second question: if$m < n$then the probability is between$0$and$1$, if$m \geq n$then the probability is$1$. – Yuval Filmus Feb 4 '11 at 7:26 @Yuval: The probability is most certainly not 1. Imagine you start out with$1 and lose the first round... –  BlueRaja - Danny Pflughoeft Jun 24 '11 at 23:23

Define $f(n)$ as the probability of playing forever when starting out with n coins. Also, assume that the probability p of winning a round is bigger than $\frac{1}{2}$ (otherwise, the probability of playing forever is 0). Then, we get the recurrence relation $$f(n) = p f(n + 1) + (1-p) f(n-1)$$ with the boundary conditions $f(0) = 0$ and $\lim_{n \to \infty} f(n) = 1$.
The general solution of the recurrence relation is $$f(n) = a + b \left( \frac{1-p}{p} \right)^n$$ and from the boundary conditions we get $a = -b = 1$. So, the probability to play infinitely is $$f(n) = 1 - \left( \frac{1-p}{p} \right)^n .$$
The second question can be answered just as the first one, but with different boundary conditions: $f(0) = 0$ and $f(m) = 1$. This leads to the probability of reaching m as $$\frac{1 - \left( \frac{1-p}{p} \right)^n}{1 - \left( \frac{1-p}{p} \right)^m} .$$