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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 11, 22 or 33 you roll again; after a 44, 55 or 66 the game is over (you still get paid that roll). What is the expected total payout?

Short answer

77. Let EE be the expected total. One roll pays 3.53.5 on average and with probability 12\tfrac12 the game restarts, so E=3.5+12EE=3.5+\tfrac12E, giving E=7E=7. (Equivalently, the number of rolls is geometric with mean 22, and Wald's identity gives 2×3.52\times3.5.)

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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