Past exam of the mathematics course of the University of Cambridge / 2021 / ii / Paper 2 / 6E / b / Solution

Differentiate $⟨f(n)⟩={\sum }_{n\ge 0}{f}_n{p}_n$ and substitute the three master equations. Reindexing every gain term by its source state gives one contribution per possible transition:This is the generator identity for a continuous-time Markov chain applied to the test function $f$.