EDIT1:
Clear["`.*"];
a = 1; ri = 1; thi = 0; zi = 0.; phi = 0.; smax = 12; sii =
Pi/3.; slp = .8;
smallCirc = {(SI'[s] + Sin[PH[s]] Sin[SI[s]]/R[s]) ==
slp (Cos[PH[s]]/R[s]),
PH'[s] == -Cos[SI[s]]/a, R'[s] == Sin[PH[s]] Cos[SI[s]],
TH'[s] == Sin[SI[s]]/R[s], Z'[s] == Cos[PH[s]] Cos[SI[s]],
R[0] == ri, TH[0] == 0., Z[0] == 0, SI[0] == sii, PH[0] == phi};
NDSolve[smallCirc, {SI, PH, R, TH, Z}, {s, 0, smax}];
{si[t_], ph[t_], r[t_], th[t_],
z[t_]} = {SI[t], PH[t], R[t], TH[t], Z[t]} /. First[%];
Plot[{si[s], ph[s], r[s], th[s], z[s]}, {s, 0, smax},
GridLines -> Automatic]
sor = ParametricPlot3D[{r[s] Cos[th[s] + v], r[s] Sin[th[s] + v],
z[s]}, {s, 0, smax}, {v, 0, 2 Pi}, PlotLabel -> SPH,
PlotStyle -> Blue] ;
fila = ParametricPlot3D[{r[s] Cos[th[s] + 0], r[s] Sin[th[s] + 0],
z[s]}, {s, 0, smax}, PlotLabel -> 3 _D Projn,
PlotStyle -> {Thick,White}];
smll = Show[{sor, fila}, PlotRange -> All, Axes -> None,
Boxed -> False, PlotLabel -> "SMLL_CIRCS_ SPH"]
soln = DSolve[smallCirc, {SI, PH, R, TH, Z}, s]
The above tries to compute small circle (runs between equator/ smaller parallel circle) on sphere with four integrated parameters {angle to meridian,meridian to axis and polar coordinates}. While it works with an NDSolve (to obtain above picture extra Z is included) , it does not compute as a function of arc length $s$ with the analytical solution DSolve in a required closed form. What do I miss? Thanks for help.
Z[0]==0
! $\endgroup$Set::write
error when I paste your code and run it. $\endgroup$