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Win-by-N match as the margin grows

Question

Player A wins each round against Player B independently with probability 0.60.6. They play until one of them is ahead by NN rounds, and that player takes the match. What does the probability that A takes the match tend to as N→∞N\to\infty?

Short answer

11. By the gambler's ruin formula with odds ratio r=0.4/0.6=23r=0.4/0.6=\tfrac23, A reaches a lead of NN before B does with probability 11+rN\tfrac{1}{1+r^N}, which tends to 11 as NN grows.

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