  Elliptic stochastic differential equations (SDE) make sense when the
coefficients are only continuous. We study the corresponding linearized SDE
whose coefficients are not assumed to be locally bounded. This leads to
existence of $W_{\loc}^{1,p}$ solution flows for elliptic SDEs with H\"older
continuous and $\cap_{p} W_{\loc}^{1,p}$ coefficients. Furthermore an
approximation scheme is studied from which we obtain a representation for the
derivative of the Markov semigroup, and an integration by parts formula.
