A unified approach to infinite dimensional integration

An approach to infinite dimensional integration which unifies the case of oscillatory integrals and the case of probabilistic type integrals is presented. It provides a truly infinite dimensional construction of integrals as linear functionals, as much as possible independent of the underlying topological and measure theoretical structure. Various applications are given, including, next to Schr"odinger and diffusion equations, also higher order hyperbolic and parabolic equations.