Codensity and the Giry monad

Abstract: The Giry monad on the category of measurable spaces sends a space to a space of all probability measures on it. There is also a finitely additive Giry monad in which probability measures are replaced by finitely additive probability measures. We give a characterisation of both finitely and countably additive probability measures in terms of integration operators giving a new description of the Giry monads. This is then used to show that the Giry monads arise as the codensity monads of forgetful functors from certain categories of convex sets and affine maps to the category of measurable spaces.