When study a category, are we only interested in those concepts and properties preserved by the morphisms, not those which cannot be preserved?
For example, in Terry Tao's blog
We say that one probability space ${(\Omega',{\mathcal B}', {\mathcal P}')} $ extends another ${(\Omega,{\mathcal B}, {\mathcal P})}$ if there is a surjective map ${\pi: \Omega' \rightarrow \Omega}$ which is measurable (i.e. ${\pi^{-1}(E) \in {\mathcal B}'}$ for every ${E \in {\mathcal B}}$) and probability preserving (i.e. ${{\bf P}'(\pi^{-1}(E)) = {\bf P}(E)}$ for every ${E \in {\mathcal B}}$).
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In order to have the freedom to perform extensions every time we need to introduce a new source of randomness, we will try to adhere to the following important dogma: probability theory is only “allowed” to study concepts and perform operations which are preserved with respect to extension of the underlying sample space. (This is analogous to how differential geometry is only “allowed” to study concepts and perform operations that are preserved with respect to coordinate change, or how graph theory is only “allowed” to study concepts and perform operations that are preserved with respect to relabeling of the vertices, etc..)
A side question, do the probability spaces and the extension mappings form a category, so that my question at the beginning of this post can apply?
Thanks!
A somewhat related question is here, about the meaning of preserving mathematical structures.