Pathwise uniqueness for degenerate stochastic differential equations with Hölder continuous coefficients

Abstract

We study pathwise uniqueness for cyclic catalytic stochastic differential equations whose state-dependent square-root diffusion coefficients are non-Lipschitz and degenerate on the boundary. The approach is the direct construction of a strong solution using a Malliavin compactness criterion. The key is the development of a new family of boundary-sensitive weighted Malliavin estimates for the tangent processes of the smooth approximations. Pathwise uniqueness then follows from the dual Yamada-Watanabe argument together with the weak uniqueness available in the literature.