Coalgebras in a Kleisli category yield a generic definition of trace
semantics for various types of labelled transition systems. In this paper we
apply this generic theory to generative probabilistic transition systems, short
PTS, with arbitrary (possibly uncountable) state spaces. We consider the
sub-probability monad and the probability monad (Giry monad) on the category of
measurable spaces and measurable functions. Our main contribution is that the
existence of a final coalgebra in the Kleisli category of these monads is
closely connected to the measure-theoretic extension theorem for sigma-finite
pre-measures. In fact, we obtain a practical definition of the trace measure
for both finite and infinite traces of PTS that subsumes a well-known result
for discrete probabilistic transition systems. Finally we consider two example
systems with uncountable state spaces and apply our theory to calculate their
trace measures