Here’s one of an occasional series of cute problems, which I offer as a challenge for whiling away a wild and rainy Saturday afternoon..
You enter a competition which consists of a never-ending series of contests. The probability that you win any single contest is p, and the outcomes of the contests are independent of one another.
Let X be the probability that you ever take the lead in the competition. What is X in terms of p, for any value of p?
Solutions through the comments box please!
UPDATE: Since a correct answer has now been posted, here is my solution:
Consider the first contest: the probability that you win it is p and if you do you take the lead straight off.
If you lose the first one, with probability (1-p), you are down by 1. Now you must (a) make up the deficit and (b) go on to take the lead. Clearly the probability of (a) is just X (the same as getting ahead from a level start). The probability of (b) is also X.
Hence X=p+(1-p)X^2.
There are two solutions of this quadratic equation: X=1 and X=p/(1-p). But the answer must be a probability so cannot exceed unity. Hence if p>1/2 then X=1, in accord with intuition: in the long run you’d expect to lead sometime if p>1/2. If p<1/2 then the other solution is correct. The two solutions match at p=1/2.
Simples.