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When to stop rolling a ten-sided die that can bust

Question

You repeatedly roll a fair ten-sided die with faces 11 to 1010, deciding before each roll whether to continue. Any result from 11 to 99 is added to your winnings; a 1010 wipes out everything you have accumulated. Under optimal play you should stop as soon as your total reaches at least $k\text{\char36}k. What is kk?

Short answer

4545. With total kk, one more roll keeps kk plus an average gain of 55 with probability 9/109/10 and loses all otherwise. Rolling is worth it while 0.9(k+5)>k0.9(k+5)>k, so the break-even point is k=45k=45.

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

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