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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 pp (opponent wins with q=1pq = 1 - p). 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 pp?

Your answer

This one is open-ended. Work it through, then check your reasoning against the full solution.

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