Integration in function spaces arose in probability theory when a gen eral theory of random processes was constructed. Here credit is cer tainly due to N. Wiener, who constructed a measure in function space, integrals-with respect to which express the mean value of functionals of Brownian motion trajectories. Brownian trajectories had previously been considered as merely physical (rather than mathematical) phe nomena. A. N. Kolmogorov generalized Wiener's construction to allow one to establish the existence of a measure corresponding to an arbitrary random process. These investigations were...