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Waiting times for one head and for HH with bias

Question

A coin lands heads with probability pp. What is the expected number of tosses until the first head? What is the expected number of tosses until two heads appear back to back?

Short answer

1/p1/p and (1+p)/p2(1+p)/p^2. The first is a geometric mean. For HH, let EE be the expected wait: after the first head (1/p1/p tosses on average) one more toss either completes HH (prob. pp) or sends you back to the start, so E=1p+1+(1−p)EE=\tfrac1p+1+(1-p)E, giving E=1+pp2E=\tfrac{1+p}{p^2} (which is 66 for a fair coin).

Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.9, p.81; question and answer rewritten by SelfMadeQuant.com.

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