\documentclass{article}
\usepackage{amsmath,amsthm,amssymb,amsfonts}
\makeatletter
\thm@headfont{\sc}
\makeatother
\newtheorem{theorem}{Theorem}
\begin{document}
\begin{theorem}
Consider a data vector $\mathbf{u}\in\mathbb{R}^n$ which satisfies the condition
\end{theorem}
\end{document}

Remark：数学符号 $\mathbf{u}\in\mathbb{R}^n$