  We prove an integral inequality for the invariant measure $\nu$ of a
stochastic differential equation with additive noise in a finite dimensional
space $H=\R^d$. As a consequence, we show that there exists the Fomin
derivative of $\nu$ in any direction $z\in H$ and that it is given by
$v_z=\langle D\log\rho,z\rangle$, where $\rho$ is the density of $\nu$ with
respect to the Lebesgue measure. Moreover, we prove that $v_z\in L^p(H,\nu)$
for any $p\in[1,\infty)$. Also we study some properties of the gradient
operator in $L^p(H,\nu)$ and of his adjoint.
