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Alternating die game with unequal winning faces

Question

Two players take turns rolling one fair die, with player 1 going first. Player 1 wins immediately on rolling a 11 or 22; player 2 wins immediately on rolling any of 3,4,5,63,4,5,6. Turns alternate until somebody wins. If p1p_1 and p2p_2 are the two players' winning probabilities, what is the larger of the two?

Short answer

47\tfrac47. Player 1 wins at once with probability 13\tfrac13; otherwise both players must miss (probability 23⋅13=29\tfrac23\cdot\tfrac13=\tfrac29) and the game restarts. So p1=13+29p1p_1=\tfrac13+\tfrac29p_1, giving p1=37p_1=\tfrac37 and p2=47p_2=\tfrac47.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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