Continuous Blackjack Threshold
A gambler draws Uniform(0,1) numbers and adds them up. He may stop at any point; if his total ever exceeds 1 he busts and loses. When he stops at total , the dealer draws Uniform(0,1) numbers and adds them until the dealer's own total first exceeds : the dealer wins if that total is at most 1, and the gambler wins otherwise.
Renewal theory gives the gambler's win probability when he stops at :
Optimal play is a threshold rule: keep drawing while the total is at most , stop as soon as it exceeds . Find .
Answer format: round to 4 decimal places.
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