The factorization of the Giry monad

Abstract: We construct a factorization of the Giry monad through the category of convex spaces, and show that, provided that no measurable cardinals exist, probability measures can be viewed as natural transformations. Using the adjunction of this factorization, we then show the category of Giry algebras is equivalent to the category of convex measurable spaces where the $\sigma$-algebra structure associated with a convex space satisfies an elementary property.