[Math] Probability of a fair sequence of tosses ending on two successive tails given the first toss was a head

markov chainsprobability

Suppose a coin is tossed repeatedly until either two successive heads appear or two successive tails appear. Then, assume that the first coin toss results in a head. I would like to find the probability of this tossing ending on two successive tails. One way I know of doing this is by creating a Markov chain and then doing first step analysis. I was wondering if there was perhaps an easier way to do this type of problem using some other principles. thank you.

Best Answer

Let $p$ be the probability you want.

Look at the possible sequences of three tosses (including the initial $H$). We have $\{HH*,HTT,HTH\}$ Conditional on the first being $H$, the probability of $HH*$ is $\frac 12$, and the probability of the other two are each $\frac 14$. The first is a win for $H$, the second is a win for $T$, and the third restarts the game. Thus $$p=\frac 12\times 0+\frac 14 \times 1 +\frac 14\times p\implies p=\frac 13$$

Note: if you want to allow for a weighted coin, the same calculation works but we need to correct for those initial probabilities. Thus assume that the coin comes up $H$ with probability $\phi$. Then $HH*$ has probability $\phi$, $HTT$ has probability $(1-\phi)^2$, and $HTH$ has probability $(1-\phi)\phi$. So the recursion is now $$p=\phi \times 0+ (1-\phi)^2 \times 1 + (1-\phi)\phi \times p\implies p=\frac {(1-\phi)^2}{1-(1-\phi)\phi}$$ Comparison shows that this matches the result obtained by looking at infinite sums, as in the posted solution of @BCLC (with different notation, unfortunately).