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Roulette with a respin before every trigger pull

Question

Two players take turns with a six-chamber revolver containing one bullet, but now the cylinder is spun again before every single pull. Should you go first or second, and what is your probability of being shot under each choice?

Short answer

Go second: you are shot with probability 5/115/11, versus 6/116/11 going first. Each pull fires with probability 16\tfrac16, independently. The first player is shot with probability 16(1+(56)2+(56)4+… )=1/611/36=611\tfrac16\left(1+\left(\tfrac56\right)^2+\left(\tfrac56\right)^4+\dots\right)=\dfrac{1/6}{11/36}=\tfrac6{11}.

Adapted from Zhou, A Practical Guide to Quantitative Finance Interviews, sec. 4.3 Conditional Probability and Bayes' Formula, 'Russian roulette II', p.81; question and answer rewritten by SelfMadeQuant.com.

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