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

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 +infinity or -infinity as t -> infinity, respectively. (C) 2017 Elsevier B.V. All rights reserved.