Need help with this probability calcuation. Any strong mathematicans here? Cheers!
Imagine there is a game and the gambler has a prob. of P1 in winning one unit of capital in a trial and 1 - P1 in lossing one unit.
He wants to know the prob. of HAVING EVER lossing more than or equal to a threshold no. of units (drawdown threshold) after a number of trials.
For example, if his prob. winning 1 unit is 0.6 and lossing 1 unit is 0.4, what is his probability of having ever lossing more than or equal to 10 units after 30 trials?
Imagine there is a game and the gambler has a prob. of P1 in winning one unit of capital in a trial and 1 - P1 in lossing one unit.
He wants to know the prob. of HAVING EVER lossing more than or equal to a threshold no. of units (drawdown threshold) after a number of trials.
For example, if his prob. winning 1 unit is 0.6 and lossing 1 unit is 0.4, what is his probability of having ever lossing more than or equal to 10 units after 30 trials?