Winning a tennis game from deuce
Asked at Optiver, IMC
A tennis game is at deuce. From deuce, a player must go two points ahead to win. You win each point independently with probability (opponent wins with ). If you win one point you have "advantage"; win the next and you take the game; lose it and you are back to deuce.
What is your probability of winning the game from deuce, in terms of ?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.