Authors
Andrey Pilipenko, Frank Norbert Proske
Publication date
2018/1/1
Journal
Statistics & Probability Letters
Volume
132
Pages
62-73
Publisher
North-Holland
Description
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+∞ or−∞ as t→∞, respectively.
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