Learn Farsi: بلیطِ قطار دارم.

When talking about possessing a general, non-specific item, Farsi usually uses the bare noun. You only need to add یک (a/one) or the indefinite suffix -ی if you want to emphasize that you have one particular ticket, or if you are adding an adjective to describe it.

How does the connection between بلیط and قطار work here?

They are connected by the Ezafe. While English creates compound nouns by placing them next to each other ("train ticket"), Farsi connects the main noun (بلیط) to its modifying noun (قطار) with the hidden "e" sound, literally meaning "ticket of train".

I often see foreign words spelled with simple phonetic Persian letters. Why is بلیط spelled with the Arabic letter ط?

This word is a loanword from French or Russian. Historically, it was spelled with ط to look more formal. Today, the spelling بلیت is officially recommended by language academies and is very common, but you will still see the older بلیط printed everywhere in daily life. Both are pronounced identically.

How do I know دارم is the main verb here and not part of a present continuous tense?

The verb دارم can act as a helper verb to show an action is happening right now (for example, دارم می‌روم meaning "I am going"). However, because there is no second verb in this sentence for it to help, دارم simply functions as the main verb showing possession: "I have".