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The class \\(\\text{so}_{HS}\\) of skew symmetric Hilbert-Schmidt operators plays the role of a Lie algebra of \\(\\text{SO}_{HS}\\). Let \\(\\text{SO}(\\infty)\\) denote the closure of the direct limit of a certain sequence of finite-dimensional subgroups of \\(\\text{SO}_{HS}\\) in a Riemannian metric. To define the Hilbert spaces \\({\\mathcal H}L^2(\\text{SO}_{HS}, \\mu_t)\\) and \\({\\mathcal H}L^2(\\text{SO}(\\infty))\\) of holomorphic functions, the author first constructs the heat kernel measure \\(\\mu_t\\) on \\(\\text{SO}_{HS}\\).   In the finite-dimensional case this measure has a density with respect to Haar measure, making it possible to apply techniques from partial differential equations. In the present infinite-dimensional case, however, stochastic differential equations in infinite dimensions are used to define \\(\\mu_t\\) as the transition probability of a diffusion on \\(\\text{SO}_{HS}\\). All holomorphic polynomials (in the matrix entries) on \\(\\text{SO}_{HS}\\) are square integrable with respect to the heat kernel measure, and \\({\\mathcal H}L^2(\\text{SO}_{HS}, \\mu_t)\\) is the closure in \\(L^2(\\text{SO}_{HS}, \\mu_t)\\) of the space of the holomorphic polynomials. \\({\\mathcal H}L^2(\\text{SO}(\\infty))\\) denotes a certain Hilbert space of holomorphic functions on \\(\\text{SO}(\\infty)\\) with a direct limit type norm. It is proved that the embedding of the space of holomorphic polynomials into \\({\\mathcal H}L^2(\\text{SO}(\\infty))\\) can be extended to an isometry from \\({\\mathcal H}L^2(\\text{SO}_{HS}, \\mu_t)\\) into \\({\\mathcal H}L^2(\\text{SO}(\\infty))\\).   The main theorem is that an infinite-dimensional nonlinear analog of the Taylor expansion defines an isometry from \\({\\mathcal H}L^2(\\text{SO}(\\infty))\\) into the Hilbert space \\(J^0_t\\) associated with a Lie subalgebra of \\(\\text{so}_{HS}\\). This is an extension to infinite dimensions of an isometry of \\textit{B. Driver} and \\textit{L. Gross} for complex Lie groups [cf. ``New trends in stochastic analysis'', Charingworth, 1994, 76-106, World Scientific Publ. (1997; Zbl 0944.60012)]; \\(\\text{SO}(\\infty)\\) plays the role of a Cameron-Martin subspace for the group.   The author notes that her methods can be applied in more general situations than in the case of one concrete group (as outlined 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