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We present a method for computing parameter sensitivities and response coefficients in Brownian dynamics simulations. The method involves tracking auxiliary variables (Malliavin weights) in addition to the usual particle positions, in an unperturbed simulation. The Malliavin weights sample the derivatives of the probability density with respect to the parameters of interest and are also interesting dynamical objects in themselves. Malliavin weight sampling is simple to implement, applies to equilibrium or nonequilibrium, steady state or time-dependent systems, and scales more efficiently than standard finite difference methods.