Legend has it that after the death of her wealthy husband, the Christian widow distributed her property to the poor and then left Milan. With the intention of suffering martyrdom, she went to Rome with her daughters Fides, Spes and Caritas. Accused under Emperor Hadrian, the daughters were executed after many tortures and buried on September 30 by their mother in the catacombs of Callistus; three days later, she herself was beheaded. The legend thus explains what Paul explains in the High Song of Love (1 Corinthians 13:12-13): in eternity I will fully know (Sophia, the wisdom) … But now there remains faith (Agenzia Fides), hope (Spes), love (Caritas), these three. The legend has no historical value whatsoever, but has been translated into many languages and widely handed down. Sophia’s cult is attested in Rome in the 6th century. It is often associated with the largest early Christian-Byzantine church, the Hagia Sophia in Constantinople – today’s Ístanbul; in reality, the predecessor building existed even before the veneration of Sophia, it is the Church of Holy Wisdom, not of Saint Sophia, which is nevertheless venerated in many Orthodox Churches – out of ignorance.
Joachim Schäfer: Article Sophia of Milan, from the Ecumenical Dictionary of Saints – https://www.heiligenlexikon.de/BiographienS/Sophia_von_Mailand.html