Lost Ball
A lost ball is a ball that is not found within three minutes of the start of the search.
The lost ball is clearly defined in the rules. As soon as you or your playing partners start searching, a period of three minutes begins. It used to be five; the rules shortened the time to protect the pace of play. If the ball has not been found once that time has passed, it is considered lost. Then the rule of "stroke and distance" applies: you must return to the spot of your last stroke and from there play on with a Penalty. Your next stroke therefore counts as one higher.
In practice you save yourself the long walk back with the provisional ball. An example: your tee shot flies into the dense Rough and is probably gone. You announce "provisional" and immediately hit a second ball from the tee. If you do not find the first, you continue with the second and lie with stroke three where otherwise stroke four would only have come about. Important: even a ball you find but cannot identify counts as lost.
A typical mistake is quietly continuing play with a new ball at the place where the first ball was found. That is a breach that ends up more expensive than the one penalty stroke. Many clubs have a local alternative rule that allows you to drop near the point of loss for two penalty strokes — whether it applies is stated on the scorecard or on the notice board. Similar in nature but handled differently is the ball out of Out of Bounds.
FAQ
How long am I allowed to search for my ball?
Exactly three minutes from the start of the search, after which the ball is officially considered lost. The period was once shortened from five to three minutes so that the pace of play does not suffer. After that you must return to the spot of your last stroke and continue with a penalty stroke.
When is a provisional ball worth it?
Whenever your ball has flown into dense rough, undergrowth or towards the out-of-bounds line. You announce "provisional" and immediately hit a second ball from the same spot. If you do not find the first, the provisional ball saves you the long walk back and you lose only the one penalty stroke.
Am I allowed to simply keep playing where the ball probably lies?
Not under the official rules — that would be a breach that ends up more expensive than the penalty stroke. Many clubs, however, have a local alternative rule that allows you to drop near the point of loss for two penalty strokes. Whether it applies on your course is stated on the scorecard or on the notice board, just as with a ball out of bounds.