Here is my attempt to explain the solution to this problem.
Suppose three doors are given, A,B, and C, and that the prize is behind door A. The player does not know this but the game host does.
Now let us assume that the game is played a large number of times, say N, and that each time the game is played the player with "switch" their choice when given the opportunity.
There are three initial cases:
1) The player chooses door A.
2) The player chooses door B.
3) The player chooses door C.
Case 1). After the player makes their choice of door A, the game host will choose one of the non-winning doors to the player. It is important to note that the choice of which non-winning door to reveal to the player is random with probability 1/2. Thus the choices presented to the player at this point of the game will be either doors A and B, or doors A and C.
The average number of times, in N plays of the game, doors A and B will be presented to the player will be N*(1/3)*(1/2) = N/6.
The average number of times doors A and C will be presented to the player will also be N/6.
Case 2). After the player chooses door B, the host will reveal that door C is incorrect and the player will be presented with a choice between doors A and B. The number of times, in N games, of this choice being presented to the player will be N/3.
Case 3). The player chooses door C, and the host will present doors A and C to the player. This will occur N/3 times in N plays of the game.
Now we compute the probability that the player will choose the correct door if they make the decision to change their choice when given the chance. There are two cases, case AB and case AC.
Case AB. Doors A and B are presented to the player. This will be the case 1/2 the time in case 1) above, and all the time in case 2), thus the number of times case AB will be presented to the player in N games will be N/6 + N/3.
If the player changes their choice in case 1), they will lose. If they change their choice in case 2), they will win. Thus, when changing their choice when the AB case is presented, the player will win N/3 times out of N plays.
The probability of winning when AB is presented to the user and they change their initial choice will be:
(number of times player wins when case AB is presented)/(number of times case AB is presented) = (N/3)/(N/6 + N/3) = (1/3)/(1/2) = 2/3.
If case AC is presented to the player a similar analysis shows that the probability of making the correct choice will also be 2/3 if they change their initial choice.
Thus in either case the probability is 2/3 for the player winning when using the "change their choice" strategy. If the player "stays" with their initial decision then the probability of their winning will be 1-(2/3) = 1/3.
This analysis shows that it is an important assumption that the game host randomly chooses which door to reveal to the player if the player initially chooses the correct door. If the game host is biased in choosing the door to reveal to the player then it will change the probability of the player winning.
--VM44