We present a general criterion for the existence of an occupation density, which is based on the integration by parts formula on Wiener space. This criterion is applied to two particular examples of ...

SIAM Journal on Numerical Analysis, Vol. 47, No. 2 (2009), pp. 1546-1575 (30 pages) The Malliavin—Thalmaier formula was introduced in [P. Malliavin and A. Thalmaier, Stochastic Calculus of Variations ...