Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis (Q849014)

The authors extend the results of \textit{I. Nourdin} and \textit{G. Peccati} [Probab. Theory Relat. Fields 145, No. 1-2, 75--118 (2009; Zbl 1175.60053)] to the \(n\)-dimensional case, by obtaining a system \[ {\partial \over \partial x_1} (h^{j,1} (x) \rho (x) ) + \cdots + {\partial \over \partial x_n} (h^{j,n} (x) \rho (x) ) = - x_j \rho (x), \qquad x\in {\mathbb R}^n, \quad j=1,\ldots ,n, \] of partial differential equations for the density \(\rho (x)\) of a smooth \({\mathbb R}^n\)-valued random variable \(Z = ( Z^1 , \ldots , Z^n )\), based on the function \[ h^{i,j} ( x ) = - E[ \langle D {\mathcal L}^{-1} Z^i , D Z^i \rangle \mid Z = x ], \qquad x \in {\mathbb R}^n, \quad 1 \leq i , j \leq n, \] where \(D\) and \({\mathcal L}\) are respectively the Malliavin derivative and the Ornstein-Uhlenbeck operator on the Wiener space. Applications to quasi-sure analysis and to the estimation of conditional probability densities of smooth random variables are given.