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First return to equal heads and tails with a biased coin

Question

A coin lands heads with probability p∈(0,1)p\in(0,1). You keep tossing until, for the first time after the start, the number of heads equals the number of tails. Let f(p,n)f(p,n) be the probability this first happens at toss 2n2n (n≥1n\ge1). Evaluate f(1/3,5)f(1/3,5) to four decimal places.

Short answer

About 0.01520.0152. The first tie at toss 2n2n requires nn heads and nn tails with one side strictly ahead until the end; by the ballot theorem this is a 12n−1\tfrac{1}{2n-1} fraction of balanced paths, so f(p,n)=12n−1(2nn)pn(1−p)nf(p,n)=\tfrac{1}{2n-1}\binom{2n}{n}p^n(1-p)^n. At p=13p=\tfrac13, n=5n=5: 2529(29)5≈0.0152\tfrac{252}{9}\left(\tfrac29\right)^5\approx0.0152.

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