Suppose Charlotte and Beatrice play a coin-flipping game with biased coins. The game iterates as per this rule:
Start at step 1. At step n, flip a coin with probability of coming up heads and probability coming up of tails. If heads comes out, Beatrice wins. Else, proceed to step n+1.
What is the probability that Beatrice wins?
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It's easier to calculate the probability that Beatrice doesn't win.
Beatrice loses when the coin always comes up tails. This happens with probability ∏ n = 1 ∞ 2 n + 2 2 n + 1 . We claim this infinite product converges to 2 1 .
Proof. We proceed by induction on partial sums to show that ∏ n = 1 k 2 n + 2 2 n + 1 = 2 k + 1 1 + 2 1 .
This holds when k = 1 , since 2 1 + 2 2 1 + 1 = 4 3 = 2 2 1 + 2 1 . Assume the claim holds when k = m . Then n = 1 ∏ m + 1 2 n + 2 2 n + 1 = ( 2 m + 1 1 + 2 1 ) ⋅ 2 m + 1 + 2 2 m + 1 + 1 = 2 m + 1 + 2 ( 2 m + 1 + 2 ) ( 2 1 + 2 m + 2 1 ) = 2 m + 2 1 + 2 1 , so the claim holds by induction. Then n = 1 ∏ ∞ 2 n + 2 2 n + 1 = k → ∞ lim 2 k + 1 1 + 2 1 = 2 1 . QED.
Thus, the probability that Beatrice doesn't win is 2 1 , so the probability that Beatrice does win is 2 1 .