Let X be a separable Banach space endowed with a non-degenerate centered Gaussian measure μ. The associated Cameron–Martin space is denoted by H. Consider two sufficiently regular convex functions U:X→ℝ and G:X→ℝ. We let ν=e−Uμ and Ω=G−1(−∞,0]. In this paper, we study the domain of the self-adjoint operator associated with the quadratic form
(ψ,φ)↦∫Ω〈∇Hψ,∇Hφ〉Hdνψ,φ∈W1,2(Ω,ν),(0.1)
and we give sharp embedding results for it. In particular, we obtain a characterization of the domain of the Ornstein–Uhlenbeck operator in Hilbert space with Ω=X and on half-spaces, namely if U≡0 and G is an affine function, then the domain of the operator defined via (0.1) is the space {u∈W2,2(Ω,μ)|〈∇Hu(x),∇HG(x)〉H=0 for ρ-a.e. x∈G−1(0)},
where ρ is the Feyel–de La Pradelle Hausdorff–Gauss surface measure.