Winning a tennis game from deuce
In tennis, a game at deuce is won by the first player to get two points ahead. If the players split the next two points, the score returns to deuce.
A player wins each point with probability p, independently of all other points.
What is the probability that she wins the game, starting from deuce? Simplify the expression, and evaluate it for p = 0.6.
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Call the answer W. From deuce, after two points, either she has won (both points), lost (neither), or the score is back at deuce (one each), in which case her probability is W again.
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