If you prefer using matrices, this could be described using a twelve-state markov chain with states ($P1_{\text{win}}, P2_{\text{win}},\dots, P1_{\text{turn}}, P2_{\text{turn}},\dots$) and the transition matrix:
$$\begin{bmatrix} 1&0&0&0&0&0&\frac{1}{6}&0&0&0&0&0\\
0&1&0&0&0&0&0&\frac{1}{6}&0&0&0&0\\
0&0&1&0&0&0&0&0&\frac{1}{6}&0&0&0\\
0&0&0&1&0&0&0&0&0&\frac{1}{6}&0&0\\
0&0&0&0&1&0&0&0&0&0&\frac{1}{6}&0\\
0&0&0&0&0&1&0&0&0&0&0&\frac{1}{6}\\
0&0&0&0&0&0&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}\\
0&0&0&0&0&0&\frac{1}{6}&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}\\
0&0&0&0&0&0&\frac{1}{6}&\frac{1}{6}&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}\\
0&0&0&0&0&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&0&\frac{1}{6}&\frac{1}{6}\\
0&0&0&0&0&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&0&\frac{1}{6}\\
0&0&0&0&0&0&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&\frac{1}{6}&0\end{bmatrix}$$
This is rather cumbersome however, and would be nice if we cared about additional statistics such as the probability of player two or player three winning.
Since we only are interested in whether or not player 1 wins, instead, let us simplify this to a four-state markov chain with states $P1_{\text{win}}, Other_\text{win}, P1_{\text{turn}}, Other_{\text{turn}}$ with the transition matrix:
$$\begin{bmatrix}1&0&\frac{1}{6}&0\\0&1&0&\frac{1}{6}\\0&0&0&\frac{1}{6}\\0&0&\frac{5}{6}&\frac{4}{6}\end{bmatrix}$$
(note that if it is a player other than player 1's turn, there is a $\frac{4}{6}$ chance it will be a player other than player 1's turn next turn as well, a $\frac{1}{6}$ chance that it will be player 1's turn, and a $\frac{1}{6}$ chance that player 1 loses (and one of the other players had won).
This is of the form $A=\left[\begin{array}{c|c}I&S\\\hline 0&R\end{array}\right]$
The limiting form becomes $\lim\limits_{n\to\infty} A^n = \left[\begin{array}{c|c}I&S(I-R)^{-1}\\\hline 0&0\end{array}\right]$
Since it begins with player 1's turn, our initial state vector $x$ will have a one in the third entry (corresponding to it being player 1's turn) and zeroes everywhere else.
Going through the necessary matrix operations will yield the answer. (namely, the first entry of the resulting vector of $\lim\limits_{n\to\infty} A^n x$)
but I can't find a formula for n greater than 3 to add it for all the values of n and find the probability that I want. Thanks
– Mery Oct 17 '15 at 10:01