Consider tossing a fair coin; you win only if you get k+1 consecutive heads after k successive tails. What is the probability you win in finite trials?
I encountered this problem in an interview. My initial thought was to calculate the probability that the game never stops: $P=1-\frac{1}{2}-\frac{1}{2}^2-.....$.
However, I feel my solution is wrong. Could anyone suggest?