Law of large numbers for a general system of stochastic differential equations with global interaction (Q1802325)

A law of large numbers in the form of the weak convergence of the empirical measures on trajectories of processes forming a triangular array is deduced. Then \(n\) processes in the \(n\)th line of the array are given as the solutions of a system of ordinary stochastic differential equations derived by semimartingales with a special (``mean field'') interaction. The limit is described as the solution of another stochastic differential equation. The model is motivated consisely by possible applications in economy. The proofs are based on a special discrete time approximation of the array of processes, nontrivial estimates, and stability results of J. Jacod and J. Memin.