I have been given some reading on the Krylov-Bogoliubov Method for constructing invariant measures.
An SDE in Hilbert space H is introduced as
$$d(X)=b(X)dt + \sigma(X)dW $$
Where W is the cylindrical Wiener Process on the Hilbert space. I have only seen Brownian Motions in $R$ and am struggling to understand the big picture/general intuition behind B.M on general spaces and what a cylindrical Wiener Process is. Any suggested reading, or helpful insights?
Thanks.