On perturbations of an ODE with non-Lipschitz coefficients by a small self-similar noise

Abstract

We study the limit behavior of differential equations with non-Lipschitz coefficients that are perturbed by a small self-similar noise. It is proved that the limiting process is equal to the maximal solution or minimal solution with certain probabilities $p_{+}$ and $p_{-}=1-p_{+}$, respectively. We propose a space-time transformation that reduces the investigation of the original problem to the study of the exact growth rate of a solution to a certain SDE with self-similar noise. This problem is interesting in itself. Moreover, the probabilities $p_{+}$ and $p_{-}$ coincide with probabilities that the solution of the transformed equation converges to $+\infty$ or $-\infty$ as $t\to \infty ,$ respectively.

16 pages

References in corpus (1)

• A solution selection problem with small symmetric stable perturbations