Prokhorov's theorem

On a Polish space, a family of probability measures is relatively compact for weak convergence exactly when it is tight. For finite measures, one additionally requires uniformly bounded total masses.

A weakly closed uniformly tight family of Borel probability measures on a Polish space is weakly compact. Embed the underlying space into a compact metric closure, take subsequential pushforward limits, and use the closed-set Portmanteau theorem on the common tightness compact sets. The limit retains full mass in the original space; inverse continuity of the probability pushforward embedding theorem then returns the weak limit.

On a compact metric space, every sequence of Borel probability measures has a subsequence with weak convergence of probability measures to a Borel probability measure. To see this, choose a countable uniformly dense subset of continuous functions, extract a diagonal subsequence of their bounded integrals, and extend the resulting positive normalized functional to all continuous functions. The Riesz representation theorem supplies its Borel probability measure. This is useful for constructing an invariant measure from orbit empirical measures.