515概率困难数值题long
Ruin Probability Under a Martingale Betting Strategy
题目
A gambler uses a doubling strategy (Martingale system): she bets on a fair coin, and after each loss she doubles her bet, resetting to after any win. Her initial capital is and the table maximum bet is (so she can lose at most consecutive times before hitting the cap, since ). If the bet would exceed , she bets her remaining capital instead. Her target is (a net gain of ). What is the probability she reaches before going broke?
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