Frequently Asked Questions In Quantitative Finance

(Kiana) #1
Chapter 10: Brainteasers 363

probability of the next coin being tails and add this to
the product of the probability of an even number and
the probability of getting a head next:


pn=pn− 1

(
1 −

1
2 n+ 1

)
+( 1 −pn− 1 )

1
2 n+ 1

.

This becomes


pn=pn− 1

2 n− 1
2 n+ 1

+

1
2 n+ 1

.

Now we just have to solve this difference equation, with
the starting value that before any tossing we have zero
probability of an odd number, sop 0 =0. If we write
pn=an/(2n+1) then the difference equation foran
becomes the very simple


an=an− 1 + 1.

The solution of this witha 0 =0isjustnandsothe
required probability is


pn=

n
2 n+ 1

.

Two heads

When flipping an unbiased coin, how long do you have
to wait on average before you get two heads in a row?
And more generally, how long beforenheads in a row.


(Thanks to MikeM.)


Solution
It turns out that you may as well solve the general prob-
lem fornin a row. LetNnbe the number of tosses
needed to getnheads in the row. It satisfies the recur-
sion relationship


Nn=^12 (Nn− 1 +1)+^12 (Nn− 1 + 1 +Nn).
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