In an interview today, I was given a hypothetical situation in which I can bet on the outcome of a biased coin (0.6H, 0.4T). I can bet £1 at a time; if I win i get my stake back and an extra £1, otherwise I lose my £1.
I was asked to calculate the probability of going broke, given that I start with £10 and the game ends if I reach £20. I had about 90 seconds to work the answer out but was unsure how, after calculating the expected value of each trial/bet.
I believe it is maybe linked to random walks, but am not entirely sure. How would you solve this in the give time frame?