The first part of this book is devoted to function spaces in Euclidean n-space with dominating mixed smoothness. Some new properties are derived and applied in the second part where weighted spaces with dominating mixed smoothness in arbitrary bounded domains in Euclidean n-space are introduced and studied. This includes wavelet frames, numerical integration and discrepancy, measuring the deviation of sets of points from uniformity. These notes are addressed to graduate students and mathematicians having a working knowledge of basic elements of the theory of function spaces, especially of Besov–Sobolev type. In particular, it will be of interest for researchers dealing with approximation theory, numerical integration and discrepancy.