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Along with X-Dice, this is a great problem for thinking about conditional probability.
Predict future weather using the probability that tomorrow is wet given today is wet and the probability that tomorrow is wet given that today is dry.
If the score is 8-8 do I have more chance of winning if the winner is the first to reach 9 points or the first to reach 10 points?
A player has probability 0.4 of winning a single game. What is his probability of winning a 'best of 15 games' tournament?