The gambler believes they will be a net winner at the game, and thus able to avoid going broke by exerting the self-control necessary to stop playing while still ahead in winnings.
The gambler's conceit frequently works in conjunction with the gambler's fallacy: the mistaken idea that a losing streak in a game of chance, such as roulette, has to come to an end or is lowered because the frequency of one event has an effect on a following independent event.
Relatedly, gambler's ruin shows that a player with finite resources continuously playing will inevitably go broke against a player with infinite resources in a fair or negative-expectation game.
An example can be seen in the Martin Scorsese movie Casino in which Robert De Niro's character ensures that a high-stakes gambler continues to gamble to ensure that the money returns to the casino.
On a smaller scale, casinos offer players free alcoholic drinks to encourage them to keep gambling.