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I am looking for good books on measures and integration in infinite-dimensional spaces, covering generalizations of Wiener measure and their properties.

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up vote 3 down vote accepted

Although the question is two years old, in case someone is still interested in some references I know of:

  • Da Prato, "An Introduction to Infinite-Dimensional Analysis", Springer, 2006.
  • Dao-Zing, X. & Brody, E. "Measure and Integration Theory on Infinite-dimensional Spaces. Abstract Harmonic Analysis" Academic Press, 1972.

A good one being closer to physics but still mathematically precise is:

  • Glimm, J. & Jaffe, A. "Quantum Physics: A functional integral approach" Springer New York, 1987
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