Intermediate spaces, Gaussian probabilities and exponential tightness

Abstract

Let us consider a Gaussian probability on a Banach space. We prove the existence of an intermediate Banach space between the space where the Gaussian measure lives and its RKHS. Such a space has full probability and a compact embedding. This extends what happens with Wiener measure, where the intermediate space can be chosen as a space of H\"older paths. From this result it is very simple to deduce a result of exponential tightness for Gaussian probabilities.