You can use the get_the_terms function, which will return an array of objects, each representing a category, and each containing the id of the term as well as the id of its parent, if it has one. You can use this data to determine which is the parent and which are its children.
Also see this post by Scribu on using a custom category walker to filter wp_list_categories, limiting output to terms associated with a particular post, giving you a proper tree structure.