 Cameron-Martin space of a Gaussian random variable in a Banach space

Let $\mathcal{G}$ be the first Gaussian chaos of a centered Gaussian random variable in a Banach space. By Fernique's theorem, $Sg=\mathbb{E}[Xg]$ is a Bochner integral in $B$. The map $S$ is injective, because $Sg=0$ implies $\mathbb{E}[g\ell (X)]=0$ for every continuous linear functional $\ell$, hence $g=0$. Its range becomes a Hilbert space under $⟨Sg,Sv{⟩}_H=\mathbb{E}[gv]$. The embedding in $B$ is continuous by Cauchy-Schwarz inequality. Its reproducing property is $⟨h,S\ell (X){⟩}_H=\ell (h)$. Thus this is the Reproducing-kernel Hilbert space of the random variable, including degenerate laws. For $h=Sg$, the scalar coordinate $\hat{h}(X)=g$ has variance $\Vert h{\Vert }_H^2$; it is generally a measurable linear coordinate rather than a continuous functional on $B$.