Let $(W_1, \|\cdot\|_1)$, $(W_2, \|\cdot\|_2)$ and $(W_3, \|\cdot\|_3)$ be three Banach spaces such that $$ W_1\hookrightarrow W_2 \hookrightarrow\hookrightarrow W_3, $$
where $W_1\hookrightarrow W_2$ means that $W_1\subset W_2$ and $\exists c_1>0$ such that $\|u\|_{W_2}\le c_1\|u\|_{W_1}$ for all $u\in W_1$. The definition of compact embedding $W_2 \hookrightarrow\hookrightarrow W_3$ is the one stated in here: https://en.wikipedia.org/wiki/Compact_embedding.
I am trying to understand if I can state that $$W_1 \hookrightarrow\hookrightarrow W_3.$$
I am pretty sure that the $W_1 \hookrightarrow W_3$ because $u\in W_1\implies u\in W_2$ and then $$\|u\|_{W_3}\le c_2 \|u\|_{W_2}\le c_1 c_2\|u\|_{W_1},$$ for a positive constant $c_2$. Hence the first property in https://en.wikipedia.org/wiki/Compact_embedding.
Anyone could help to understand if also the second property in https://en.wikipedia.org/wiki/Compact_embedding is satisfied and then $W_1 \hookrightarrow\hookrightarrow W_3$ is true?
If you use an equivalent formulation of compactness of an operator, I think the answer is relatively simple.
You just need to take a bounded set $A\subseteq W_1$ and you need to check whether its image under the continuous embedding $i_{1,3}:W_1\to W_3$ is relatively compact.
Since you took the continuous embedding to be the composition of the continuous embeddings, $i_{1,2}:W_1\to W_2$ and $i_{2,3}:W_2\to W_3$, you can check in steps what happens to a bounded set in $W_1$.
Take $A\subseteq W_1$ bounded. Hence, there exists an $M>0$ such that $A\subseteq B_{\Vert \cdot \Vert_1}(0;M)$, a ball around $0$ at radius $M$ in $W_1$. Since $i_{1,2}$ is continuous, you see that
$$i_{1,2} ( A ) \subseteq B_{\Vert \cdot \Vert_2}(0;c_2M). $$
Note also that $i_{1,3}(A)= i_{2,3} \big( i_{1,2}(A) \big)$. Since $i_{2,3}$ is compact and $C:=i_{1,2}(A)$ is bounded, you get that $i_{2,3}(C)$ is relatively compact in $W_3$.
This shows that $i_{1,3}$ maps bounded sets to relatively compact sets. You could reformulate this logic to any of the equivalent definitions of a compact operator.