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A twelve versus back-to-back sevens with two dice

Question

Two fair dice are thrown together over and over. Player A wins the moment a total of 1212 is thrown. Player B wins the moment two successive throws both total 77. Which player is favoured, and what is that player's chance of winning?

Short answer

A is favoured, winning with probability 7/137/13. Track whether the last throw was a 77. With aa and bb the chances A wins from the fresh state and the after-a-7 state: a=136+16b+2936aa=\tfrac1{36}+\tfrac16 b+\tfrac{29}{36}a and b=136+2936ab=\tfrac1{36}+\tfrac{29}{36}a, which solve to a=713a=\tfrac7{13}.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 5.1 Markov Chain, 'Dice question', p.107; question and answer rewritten by SelfMadeQuant.com.

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