Let $\{Y_j\}_1^\infty$ be i.i.d. real random variables on a common probability space. $\forall n\in\mathbb{N}$, define $X_n = x_0 + \sum_{j=1}^nY_j$, where $x_0$ is a constant. Also define $X_0=x_0$. Let $\mathcal{F}_n=\mathcal{F}_n^Y$ be the natural filtation of the $Y_j$'s.
I want to show $(X_n)$ is a Markov process with respect to $\mathcal{F}_n$ with transition probability given by $$p(x,A)=P(x+Y\in A)$$, where $x$ is a real number, $A$ is a Borel set, and $Y$ is any one of the $Y_j$'s.
I have verified $p(\cdot,\cdot)$ is a valid transition probability, but I don't know how to show it satisfies the following Markov property:
$$P(X_{n+1}\in A | \mathcal{F}_n)(\omega)=p(X_n(\omega),A)$$ for almost every $\omega$ for all $n$.
For discrete $Y_j$'s, this can be done through conditioning on the values of the $Y_j$'s, like how it is done for Markov chains. I have tried to approximate general random variables with discrete ones using simple functions, but this method does not seem to work because the approximations of the $Y_j$'s might not be i.i.d.