假设
赌徒A有资金
a
a
a元
赌徒B有资金
b
b
b元
每次输赢
1
1
1元，直到一方输完。
设A赢的概率为
p
p
p，输的概率为
q
(
p
+
q
=
1
)
q(p+q=1)
q(p+q=1)。试求A能赢得所有资金得概率？
解：
令
f
i
f_i
fi表示A能从
i
i
i元赢到
a
+
b
a+b
a+b元的概率，
f
0
=
0
f_0=0
f0=0(已经输了)，
f
a
+
b
=
1
f_{a+b}=1
fa+b=1(已经赢了)，答案为
f
a
f_a
fa
f
i
=
p
f
i
+
1
+
q
f
i
−
1
(
p
+
q
)
f
i
=
p
f
i
+
1
+
q
f
i
−
1
q
(
f
i
−
f
i
−
1
)
=
p
(
f
i
+
1
−
f
i
)
q
p
(
f
i
−
f
i
−
1
)
=
(
f
i
+
1
−
f
i
)
\begin{aligned} f_i&=pf_{i+1}+qf_{i-1}\\ (p+q)f_i&=pf_{i+1}+qf_{i-1}\\ q(f_i-f_{i-1})&=p(f_{i+1}-f_i)\\ \frac{q}{p}(f_i-f_{i-1})&=(f_{i+1}-f_i) \end{aligned}
fi(p+q)fiq(fi−fi−1)pq(fi−fi−1)=pfi+1+qfi−1=pfi+1+qfi−1=p(fi+1−fi)=(fi+1−fi)
则有
f
i
−
f
i
−
1
=
(
q
p
)
i
−
1
(
f
1
−
f
0
)
f
i
−
1
−
f
i
−
2
=
(
q
p
)
i
−
2
(
f
1
−
f
0
)
.
.
.
f
2
−
f
1
=
q
p
(
f
1
−
f
0
)
f
1
−
f
0
=
(
q
p
)
0
(
f
1
−
f
0
)
\begin{aligned} f_{i}-f_{i-1}&=(\frac{q}{p})^{i-1}(f_1-f_0)\\ f_{i-1}-f_{i-2}&=(\frac{q}{p})^{i-2}(f_1-f_0)\\ ...\\ f_2-f_1&=\frac{q}{p}(f_1-f_0)\\ f_1-f_0&=(\frac{q}{p})^0(f_1-f_0)\\ \end{aligned}
fi−fi−1fi−1−fi−2...f2−f1f1−f0=(pq)i−1(f1−f0)=(pq)i−2(f1−f0)=pq(f1−f0)=(pq)0(f1−f0)
求和得
f
i
−
f
0
=
(
f
1
−
f
0
)
∑
j
=
0
i
−
1
(
q
p
)
j
(
f
0
=
0
)
f
i
=
f
1
∑
j
=
0
i
−
1
(
q
p
)
j
(
1
)
\begin{aligned} f_{i}-f_0&=(f_1-f_0)\sum_{j=0}^{i-1}(\frac{q}{p})^j\quad (f_0=0)\\ f_{i}&=f_1\sum_{j=0}^{i-1}(\frac{q}{p})^j\quad (1)\\ \end{aligned}
fi−f0fi=(f1−f0)j=0∑i−1(pq)j(f0=0)=f1j=0∑i−1(pq)j(1)
a
+
b
a+b
a+b代入
(
1
)
(1)
(1)
f
a
+
b
=
f
1
∑
j
=
0
a
+
b
−
1
(
q
p
)
j
f
1
=
f
a
+
b
∑
j
=
0
a
+
b
−
1
(
q
p
)
j
f
1
=
1
∑
j
=
0
a
+
b
−
1
(
q
p
)
j
\begin{aligned} f_{a+b}&=f_1\sum_{j=0}^{a+b-1}(\frac{q}{p})^j\\ f_1&=\frac{f_{a+b}}{\sum_{j=0}^{a+b-1}(\frac{q}{p})^j}\\ f_1&=\frac{1}{\sum_{j=0}^{a+b-1}(\frac{q}{p})^j}\\ \end{aligned}
fa+bf1f1=f1j=0∑a+b−1(pq)j=∑j=0a+b−1(pq)jfa+b=∑j=0a+b−1(pq)j1
f
1
f_1
f1代入
(
1
)
(1)
(1)
f
i
=
∑
j
=
0
i
−
1
(
q
p
)
j
∑
j
=
0
a
+
b
−
1
(
q
p
)
j
1
≤
i
≤
a
+
b
f
a
=
∑
j
=
0
a
−
1
(
q
p
)
j
∑
j
=
0
a
+
b
−
1
(
q
p
)
j
\begin{aligned} f_i&=\frac{\sum_{j=0}^{i-1}(\frac{q}{p})^j}{\sum_{j=0}^{a+b-1}(\frac{q}{p})^j}\quad 1\le i\le a+b\\ f_a&=\frac{\sum_{j=0}^{a-1}(\frac{q}{p})^j}{\sum_{j=0}^{a+b-1}(\frac{q}{p})^j}\\ \end{aligned}
fifa=∑j=0a+b−1(pq)j∑j=0i−1(pq)j1≤i≤a+b=∑j=0a+b−1(pq)j∑j=0a−1(pq)j
分类讨论：
-
q
p
=
1
\frac{q}{p}=1
pq=1
f a = a a + b f_a=\frac{a}{a+b} fa=a+ba -
q
p
≠
1
\frac{q}{p}\neq1
pq=1
f a = 1 − ( q p ) a 1 − ( q p ) a + b f_a=\frac{1-(\frac{q}{p})^a}{1-(\frac{q}{p})^{a+b}} fa=1−(pq)a+b1−(pq)a
注意：
(
q
p
)
j
(\frac{q}{p})^j
(pq)j在算的时候可能会爆所以用另一种方法计算
注意到
f
2
−
f
1
=
q
p
(
f
1
−
f
0
)
f
1
=
p
p
+
q
f
2
f
1
=
p
f
2
\begin{aligned} f_2-f_1&=\frac{q}{p}(f_1-f_0)\\ f_1&=\frac{p}{p+q}f_2\\ f_1&=pf_2\\ \end{aligned}
f2−f1f1f1=pq(f1−f0)=p+qpf2=pf2
代入
f
3
−
f
2
=
q
p
(
f
2
−
f
1
)
f_3-f_2=\frac{q}{p}(f_2-f_1)
f3−f2=pq(f2−f1)得
f
2
=
p
1
−
p
q
f
3
f_2=\frac{p}{1-pq}f_3
f2=1−pqpf3
所以我们可以假设有
f
i
−
1
=
k
i
−
1
f
i
f_{i-1}=k_{i-1}f_i
fi−1=ki−1fi这种形式，代入
f
i
=
p
f
i
+
1
+
q
f
i
−
1
f_i=pf_{i+1}+qf_{i-1}
fi=pfi+1+qfi−1得
f
i
f
i
+
1
=
k
i
=
p
1
−
q
k
i
−
1
\frac{f_i}{f_{i+1}}=k_i=\frac{p}{1-qk_{i-1}}
fi+1fi=ki=1−qki−1p
因为
k
0
=
0
k_0=0
k0=0，所以可以递推出所有得
k
i
k_i
ki，然后
f
a
+
b
−
1
=
k
a
+
b
−
1
f
a
+
b
f
a
+
b
−
2
=
k
a
+
b
−
2
f
a
+
b
−
1
=
k
a
+
b
−
2
k
a
+
b
−
1
f
a
+
b
.
.
.
f
i
=
f
a
+
b
∏
j
=
i
a
+
b
−
1
k
j
0
≤
i
≤
a
+
b
−
1
f
a
=
f
a
+
b
∏
j
=
a
a
+
b
−
1
k
j
\begin{aligned} f_{a+b-1}&=k_{a+b-1}f_{a+b}\\ f_{a+b-2}&=k_{a+b-2}f_{a+b-1}=k_{a+b-2}k_{a+b-1}f_{a+b}\\ ...\\ f_i&=f_{a+b}\prod_{j=i}^{a+b-1}k_j\quad 0\le i\le a+b-1\\ f_a&=f_{a+b}\prod_{j=a}^{a+b-1}k_j \end{aligned}
fa+b−1fa+b−2...fifa=ka+b−1fa+b=ka+b−2fa+b−1=ka+b−2ka+b−1fa+b=fa+bj=i∏a+b−1kj0≤i≤a+b−1=fa+bj=a∏a+b−1kj
- 如果存在平局，则平局的概率为
1
−
p
−
q
1-p-q
1−p−q
f i = p f i + 1 + q f i − 1 + ( 1 − p − q ) f i ( p + q ) f i = p f i + 1 + q f i − 1 f i = p p + q f i + 1 + q p + q f i − 1 \begin{aligned} f_i&=pf_{i+1}+qf_{i-1}+(1-p-q)f_i\\ (p+q)f_i&=pf_{i+1}+qf_{i-1}\\ f_i&=\frac{p}{p+q}f_{i+1}+\frac{q}{p+q}f_{i-1}\\ \end{aligned} fi(p+q)fifi=pfi+1+qfi−1+(1−p−q)fi=pfi+1+qfi−1=p+qpfi+1+p+qqfi−1
令 p ′ = p p + q , q ′ = q p + q , p ′ + q ′ = 1 p^{'}=\frac{p}{p+q},q^{'}=\frac{q}{p+q},p^{'}+q^{'}=1 p′=p+qp,q′=p+qq,p′+q′=1
f i = p ′ f i + 1 + q ′ f i − 1 f_i=p^{'}f_{i+1}+q^{'}f_{i-1}\\ fi=p′fi+1+q′fi−1
所以如果存在平局，则只需要排除平局的情况重新计算相应的概率，接下来的和前面一样。
1万+
被折叠的 条评论
为什么被折叠?
到【灌水乐园】发言
