Friend and top financier Robin Saunders said: “This is the most exciting news! Julia will be a wonderful mother and role model for her daughter. I wish her happiness with Pia.”
Dame Julia stepped down from the Serpentine Galleries in 2015 after 25 years at the helm - during which time she raised visitor numbers by hundreds of thousands.
At the time she told The Guardian: “There is never a good time to leave – however, I wanted to go when the Serpentine was firing on all cylinders and our major capital projects had been completed.
“I felt after 25 years this was a good time to hand over the reins to someone new.”
After her departure there were rumours on the art circuit that she was to replace Sir Nicholas Serota as director of the Tate, but chose motherhood instead and is currently on the West Coast of America.
She reportedly told friends she had been considering starting a family for some time, and is delighted by the arrival of her daughter..