A few months ago, Terry Tao had a really insightful postreally insightful post about "the probabilistic way of thinking", in which he suggested that a nice category of probability spaces was one in which the objects were probability spaces and the morphisms were extensions (ie, measurable surjections which are probability preserving). By avoiding looking at the details of the sample space, you can elegantly capture the style of probabilistic arguments in which you introduce new sources of randomness as needed.
Martin Sleziak
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