Solving Partially Observable Markov Decision Processes (POMDPs) in continuous state, action and observation spaces is key for autonomous planning in many real-world mobility and robotics applications. Current approaches are mostly sample based, and cannot hope to reach near-optimal solutions in reasonable time. We propose two complementary theoretical contributions. First, we formulate a novel Multiple Importance Sampling (MIS) tree for value estimation, that allows to share value information between sibling action branches. The novel MIS tree supports action updates during search time, such as gradient-based updates. Second, we propose a novel methodology to compute value gradients with online sampling based on transition likelihoods. It is applicable to MDPs, and we extend it to POMDPs via particle beliefs with the application of the propagated belief trick. The gradient estimator is computed in practice using the MIS tree with efficient Monte Carlo sampling. These two parts are combined into a new planning algorithm Action Gradient Monte Carlo Tree Search (AGMCTS). We demonstrate in a simulated environment its applicability, advantages over continuous online POMDP solvers that rely solely on sampling, and we discuss further implications.