Collect die faces until a four or higher
Question
You roll a fair die and are paid the number shown on every roll. After a , or you roll again; after a , or the game is over (you still get paid that roll). What is the expected total payout?
Short answer
. Let be the expected total. One roll pays on average and with probability the game restarts, so , giving . (Equivalently, the number of rolls is geometric with mean , and Wald's identity gives .)
Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 5.2 Martingale and Random Walk, 'Dice game (stop at 4-6)', p.116; question and answer rewritten by SelfMadeQuant.com.
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