Down Two Before Up Three

You and a friend flip a fair coin for $1 \$1 a flip, and you track your net winnings starting from 0 0 . You agree in advance to quit the moment you are either down $2 \$2 or up $3 \$3 . What is the probability the session ends with you down $2 \$2 ? Would the answer change if your running P&L instead followed a driftless Brownian motion stopped at the same two levels?

Answer

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