[guided]We now connect the matrix identity to the actual continued fraction. For each integer $i\geq 0$, the map $T_i:(0,\infty)\to\mathbb{R}$ is defined by
\begin{align*}
T_i(t)=a_i+\frac{1}{t}=\frac{a_i t+1}{t}.
\end{align*}
The codomain is only $\mathbb{R}$ because $a_0$ may be negative. This causes no problem: $T_0$ is applied last, while the maps applied before it are $T_i$ with $i\geq 1$. For those indices, $a_i\in\mathbb{N}$ gives $a_i>0$, and hence $T_i(t)>0$ whenever $t>0$.
For $n\geq 1$, the recursive definition of the finite continued fraction gives
\begin{align*}
[a_0;a_1,\dots,a_n]=T_0\bigl(T_1(\cdots T_{n-1}(a_n)\cdots)\bigr).
\end{align*}
The input $a_n$ is positive, and every intermediate map $T_i$ with $i\geq 1$ preserves positivity, so all reciprocal operations in the expression are defined.
The product matrix $P_n$ represents the composition of these fractional linear maps. More precisely, for every $n\geq 0$ and every positive input $t>0$ for which the nested expression $T_0(T_1(\cdots T_n(t)\cdots))$ is defined, the denominator in the rational expression below is nonzero and
\begin{align*}
T_0\bigl(T_1(\cdots T_n(t)\cdots)\bigr)=\frac{p_n t+p_{n-1}}{q_n t+q_{n-1}}.
\end{align*}
This is proved by induction on $n$. For $n=0$, the formula is
\begin{align*}
T_0(t)=a_0+\frac{1}{t}=\frac{a_0t+1}{t}=\frac{p_0t+p_{-1}}{q_0t+q_{-1}},
\end{align*}
using $p_0=a_0$, $p_{-1}=1$, $q_0=1$, and $q_{-1}=0$.
Now assume the formula holds with index $n-1$. For an admissible positive input $t$, define
\begin{align*}
s=T_n(t)=\frac{a_nt+1}{t}.
\end{align*}
Substituting this value of $s$ into the induction hypothesis gives
\begin{align*}
T_0\bigl(T_1(\cdots T_n(t)\cdots)\bigr)
=\frac{p_{n-1}s+p_{n-2}}{q_{n-1}s+q_{n-2}}
=\frac{p_{n-1}\frac{a_nt+1}{t}+p_{n-2}}{q_{n-1}\frac{a_nt+1}{t}+q_{n-2}}.
\end{align*}
Multiplying numerator and denominator by the positive number $t$ gives
\begin{align*}
T_0\bigl(T_1(\cdots T_n(t)\cdots)\bigr)
=\frac{(a_np_{n-1}+p_{n-2})t+p_{n-1}}{(a_nq_{n-1}+q_{n-2})t+q_{n-1}}.
\end{align*}
The recurrence relations identify $a_np_{n-1}+p_{n-2}$ with $p_n$ and $a_nq_{n-1}+q_{n-2}$ with $q_n$, so
\begin{align*}
T_0\bigl(T_1(\cdots T_n(t)\cdots)\bigr)=\frac{p_nt+p_{n-1}}{q_nt+q_{n-1}}.
\end{align*}
Now apply this composition formula with index $n-1$ and input $t=a_n$. The input is admissible because $a_n>0$, and each map $T_i$ with $i\geq 1$ preserves positivity on positive inputs. Therefore the nested continued fraction tail is defined, and the denominator in the rational expression is nonzero. We obtain
\begin{align*}
[a_0;a_1,\dots,a_n]=\frac{p_{n-1}a_n+p_{n-2}}{q_{n-1}a_n+q_{n-2}}.
\end{align*}
By the defining recurrences for the convergents, the numerator is $p_n$ and the denominator is $q_n$. Therefore
\begin{align*}
[a_0;a_1,\dots,a_n]=\frac{p_n}{q_n}.
\end{align*}
For $n=0$, the identity is
\begin{align*}
[a_0]=a_0=\frac{p_0}{q_0},
\end{align*}
since $p_0=a_0$ and $q_0=1$.[/guided]