A Probability Monad as the Colimit of Finite Powers

We define a monad on the category of complete metric spaces with short maps, which assigns to each space the space of Radon probability measures on it with finite first moment, equipped with the Kantorovich–Wasserstein distance. It is analogous to the Giry monad on the category of Polish spaces, and it extends a construction due to van Breugel for compact and for 1bounded complete metric spaces. We prove that this Kantorovich monad arises from a colimit construction on finite powers, which formalizes the intuition that probability measures are limits of finite samples. The proof relies on a new criterion for when an ordinary left Kan extension of lax monoidal functors is a monoidal Kan extension. This colimit characterization allows for the development of integration theory and other things, such as the treatment of measures on spaces of measures, completely without measure theory. We also show that the category of algebras of the Kantorovich monad is equivalent to the category of closed convex subsets of Banach spaces with short affine maps as the morphisms.