What is the result of multiplying several (or perhaps an infinite number) of binomial distributions together?


To clarify, an example.


Suppose that a bunch of people are playing a game with k (to start) weighted coins, such that heads appears with probability p < 1. When the players play a round, they flip all their coins. For each heads, they get a coin to flip in the next round. This is repeated every round until they have a round with no heads.


How would I calculate the probability distribution of the number or coins a player will have after n rounds? Especially if n is extremely high and p extremely close to 1?



Result of repeated applications of the binomial distribution?
Here's how I interpret your example: there are a bunch of coins (k initially), each being flipped every round until it comes up tails, at which point the coin is "out," And you want to know, after n rounds, the probability that exactly j coins are still active, for j = 0, ..., k. (The existence of multiple players seems irrelevant.) 


In that case, this is pretty elementary: after n rounds, the probability of each individual coin being active is p^n, so you have a binomial distribution with parameter p^n, k trials. Since you want to send p to 1 and n to infinity, note that replacing p by its square root and doubling n gives you the same distribution. 


Your problem has a surprisingly fascinating generalization, which I believe is called the Galton-Watson process. Its solution has a very elegant representation in terms of generating functions, but I think there are very few examples in which the probabilities are simple to compute in general. Your instance is one of those. (The generalization: at each round, you have a certain number of individuals, each of which turns (probabilistically, independently) into a finite number of identical individuals. If the individuals are coins and each coin turns into one coin with probability p and zero coins with probability 1-p, and you begin with k coins, then we recover your example.) 


