Summary: A survey of recent developments concerning rigorously defined infinite dimensional integrals, mainly of the type of “Feynman path integrals”, is given. Both the theory and its applications, especially in quantum theory, are presented. As for the theory, general results are discussed including the case of polynomially growing phase functions, which are handled by exploiting the connection with probabilistic functional integrals. Also applications to continuous measurement theory and the stochastic Schrödinger equation are given. Other applications of probabilistic methods in non relativistic quantum theory and in quantum field theory, and their relations with statistical mechanics, are discussed.