Pathwise uniqueness for a degenerate stochastic differential equation (Q2460330)

Let \[ dX_t= |X_t|^\alpha\,dW_t,\tag{1} \] where \(W_t\) is one-dimensional Brownian motion be the degenerate stochastic differential equation. Given a Brownian motion \(W\) on probability space a strong solution to the stochastic differential equation \[ X_t= x+ \int^t_0 |X_s|^\alpha\,dW_s\tag{2} \] that spends zero time at \(0\) is continuous process \(X= \{X_t,t\geq 0\}\) that is adapted to the filtration generated by \(W\), solves (2) and satisfies \[ \int^\infty_0 1_{\{0\}}(X_s)\,ds= 0\text{ a.s.}.\tag{3} \] A weak solution of (2) is a couple \((X,W)\) on a filtered probability space \((\Omega,\Im,\{\Im_t\}_{r\geq 0},P)\) such that \(X_t\) is adapted to \(\Im_t\), \(W_t\) is an \(\{\Im_t\}_{t\geq 0}\)-Brownian motion and \((X, W)\) satisfies (2). Weak uniqueness holds for (2) among solutions that spend zero time at \(0\) if whenever \((X, W)\) and \((\widetilde X,\widetilde W)\) are two weak solutions of (2) satisfying the condition (3), then the process \(X\) has the same law as the process \(\widetilde X\). Pathwise uniqueness is said to hold for (2) among solutions that spend zero time at \(0\) if whenever \((X, W)\) and \((\widetilde X, W)\) are two weak solutions of (2) satisfying the condition (3) with a common Brownian motion \(W\) (relative to possibly different filtrations) on a common probability space and with common initial value, then \(P\) (\(X_t=\widetilde X_t\) for all \(t\geq 0\))\(=1\). Strong uniqueness is said to hold for (2) among solutions that spend zero time at \(0\) if whenever \((X, W)\) and \((\widetilde X, W)\) are two weak solutions of (2) satisfying the condition (3) with a common Brownian motion \(W\) on a common probability filtered space and with common initial value, then \(P\) (\(X_t=\widetilde X_t\) for all \(t\geq 0\))\(=1\). The authors prove that for \(\alpha\in (0,{1\over 2})\) pathwise uniqueness holds for solutions of (2) that spend zero time at \(0\) and a strong solution to (2) which spends zero time at \(0\) exists. The stochastic differential equations with reflection \[ X_t= x+ \int^t_0 a(X_s)\,dW_s+ \int^t_0 b(X_s)\,ds+ L_t,\tag{4} \] where \(L_t\) is a nondecreasing continuous process that increases only when \(X\) is at \(0\), \(X_t\) is never negative and \[ \int^\infty_0 1_{\{0\}}(X_s)\,ds= 0\text{ a.s.}\tag{5} \] is also studied.