Definition
Let $V$ be a complex vector space and $\Gamma$ a lattice in $V$ (a discrete subgroup of $V$ that spans $V$ as a real vector space).
Theta Correspondence
Given a symplectic vector space $(V,\omega)$ we have the corresponding Heisenberg group $\mathsf{H}(V)$. It admits a unique irreducible representation in a Hilbert space in which the center $U(1)$ acts by homotheties. Endow $V$ with a complex structure such that $\omega$ becomes the imaginary part of some Hermitian inner product gives rise to a model, called the Fock space $\mathcal{F}$, for this unique representation. If $\omega$ takes integral values on a lattice $\Gamma\subset V$, then $\Gamma$ lifts as a subgroup of $\mathsf{H}(V)$.
Theta functions appear naturally as $\Gamma$-invariants in $\mathcal{F}$ or an enlarged space $\mathcal{F}_{-\infty}$.