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506概率中等数值题medium

Martingale Approach to Biased Ruin Probability

题目

A gambler starts with $4\$4 and repeatedly bets $1\$1 on a biased coin that lands heads with probability p=0.55p = 0.55. She gains $1\$1 on heads and loses $1\$1 on tails. The game ends when her fortune reaches $0\$0 or $10\$10. Using the martingale (q/p)Xn(q/p)^{X_n} and the optional stopping theorem, find the exact probability that she reaches $10\$10 before going broke.

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