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Alternating tosses: first to complete heads then tails

Question

Two players, A then B, take turns tossing one shared fair coin, so the tosses form a single sequence. The game ends the first time a tail immediately follows a head in that sequence, and the player who tossed that tail wins. What is the probability that A wins?

Short answer

4/94/9. Track whose turn it is and whether the last toss was a head. If A is about to toss after a head, A wins with probability bb where b=12+12⋅b2b=\tfrac12+\tfrac12\cdot\tfrac b2, so b=23b=\tfrac23. From the start, a=12⋅b2+12(b2+a2)a=\tfrac12\cdot\tfrac b2+\tfrac12\left(\tfrac b2+\tfrac a2\right), which gives a=49a=\tfrac49.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 4.3 Conditional Probability and Bayes' Formula, 'Coin toss game (HT first)', p.79; question and answer rewritten by SelfMadeQuant.com.

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