Wiener measure - reference request

Question

The Wikipedia article on Classical Wiener space states that:

classical Wiener measure γ is the radonification of the canonical Gaussian cylinder set measure on the Cameron-Martin Hilbert space corresponding to $C_0$

Could anyone provide a reference explaining the whole thing?

Answer 1

I don't know if it will be able to explain precisely this statement, but a good reference is chapter 8 of Stroock's Probability Theory: An Analytic View.