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Coin Flip: Double or Halve
Suppose you have a fair coin. You start with £1. If you toss a $H$, your money doubles. If you toss a $T$, your money halves. What is the expected value of your money if you toss the coin an infinite number of times?
Let's first consider the expectation of our money after the first toss. Half of the time we will end up with £2, and the other half of the time we will end up with £0.50.
$$
\text{E}[\text{Money}] = 0.5(2) + 0.5(0.5) = \frac{5}{4}.
$$
We can use the result that
$$
E[X_1 \cdot X_2 \cdot X_3 \cdot ...] = E[X_1] \cdot E[X_2] \cdot E[X_3] \cdot ...
$$
to see that we expect our money to multiply by $\frac{5}{4}$ every time we flip the coin. As the number of tosses goes to infinity, then we can expect our money to tend to infinity.
$$
\lim_{n \rightarrow \infty} \text{E}[\text{Payoff}] = \lim_{n \rightarrow \infty} \left( \frac{5}{4} \right)^n = \infty
$$
Another way to see this is to consider the payoff of each coin flip
$$
\text{E}[\text{Payoff}] = 0.5(1) + 0.5(-0.5) = 0.25.
$$
Since we can expect a positive payoff with every coin flip, then if we flip the coin an infinite number of times our payoff should tend to infinity.