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Race to three heads or three tails

Question

A fair coin is tossed repeatedly. Player one wins as soon as three heads have appeared in total, player two as soon as three tails have appeared in total; the heads or tails need not be consecutive. What is the expected number of tosses before someone wins?

Short answer

338\tfrac{33}{8}. The game lasts 3, 4 or 5 tosses. It ends at toss 3 with probability 14\tfrac14, at toss 4 with probability 2⋅316=382\cdot\tfrac{3}{16}=\tfrac38, and otherwise at toss 5 (38\tfrac38). The mean is 34+128+158=338\tfrac34+\tfrac{12}{8}+\tfrac{15}{8}=\tfrac{33}{8}.

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

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