Probability

Gambler's Ruin

The problem of a random walk between zero and a target, and the probability of hitting each first.

In a fair game starting at k with target N: probability of reaching N first is k/N, and the expected duration is k(N - k).

That duration is much larger than intuition suggests - starting at 50 targeting 100 takes 2,500 rounds on average, because the walk drifts nowhere.

With a bias, the probability becomes (1 - r^k)/(1 - r^N) where r = (1-p)/p - exponential in the number of units rather than linear, so small edges compound into near-certainty.

The casino result. Against an infinitely rich opponent, ruin is certain even at fair odds. Bankroll matters more than edge.

Full guide

Gambler's Ruin Explained

How long a random walk survives before hitting zero, why a fair game still ruins you against an infinite opponent, and the interview forms it takes.

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