On approximation of measures by their finite-dimensional images

We consider Borel measures on separable Banach spaces that are limits of their finite-dimensional images in the weak topology. The class of Banach spaces on which all measures have this property is introduced. The specified property is proved for all measures from the closure in variation of the linear span of the set of measures absolutely continuous with respect to Gaussian measures. Connections with the approximation property and the stochastic approximation property are considered.