We show that the Kolmogorov extension theorem and the Doob martingale convergence theorem are two aspects of a common generalization, namely a colimit-like construction in a category of Radon spaces and reversible Markov kernels. The construction provides a compositional denotational semantics for standard iteration operators in probabilistic programming languages, e.g. Kleene star or while loops, as a limit of finite approximants, even in the absence of a natural partial order.