Generalized random fields and Lévy's continuity theorem on the space of tempered distributions

In this note, we recall main properties of generalized random fields and present a proof of the continuity theorem of Paul Lévy for generalized random fields in the space of tempered distributions. This theorem was first proved by Fernique (1968) in a more general setting. The aim of this note is to provide a self-contained proof that in particular avoids the abstract theory of nuclear spaces.