We develop the theory of sparse multiplex networks with partially overlapping links based on their local treelikeness. This theory enables us to find the giant mutually connected component in a two-layer multiplex network with arbitrary correlations between connections of different types. We find that correlations between the overlapping and nonoverlapping links markedly change the phase diagram of the system, leading to multiple hybrid phase transitions. For assortative correlations we observe recurrent hybrid phase transitions.