The interrupted game (problem of points)
Asked at Jane Street
Two players, A and B, play a series of fair, independent rounds (each round won by A or B with probability ). The first to a target score wins the whole pot. The game is halted early: at that moment A needs more round wins and B needs more to take the pot.
What fraction of the pot should A receive, that is, what is the probability A would have won?
Show a hint
The match must finish within a bounded number of extra rounds. Imagine playing exactly that many phantom rounds and count how many A needs to win.