I think the myth that Kolmogorov was the first to come up with the idea of basing probability theory on measure theory is very common. This myth is debunked in
The Sources of Kolmogorov’s Grundbegriffe
G.Shafer and V.Vovk, The Sources of Kolmogorov’s Grundbegriffe, Statist. Sci. Volume 21, Number 1 (2006), 70-98. Online (free).
