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It is well known that there is a bijection between morphisms of monads and (backward) functors between the Eilenberg-Moore categories commuting with the forgetful functors.
Is a similar statement known for Kleisli categories, does anyone know?
Yes. Monads morphisms are in bijection with functors between Kleisli categories commuting with the inclusion functors.
It's formally dual to the statement about EM categories.
The earliest reference is most likely Maranda's On fundamental constructions and adjoint functors, though it's also implicit in Linton's work.
BY 'inclusion' functors here do you mean the free functors? I think that's what it would be if it was dual to the EM result.
The functors into the Kleisli categories, yes.
Thank you!