Une loi des grands nombres pour des systèmes de diffusions avec interaction et à coefficients non bornés. (A law of large numbers for diffusion systems with interaction and unbounded coefficients)
The author considers a system of N stochastic differential equations which is typical for certain systems of spins or for the evolution of a system of particles. The system is correlated since the drift and the diffusion coefficients depend on its empirical measure. The main result of the paper, the law of large numbers (as \(N\uparrow \infty)\) for this system, is stated in terms of convergence of the empirical measure towards the unique solution of a non-linear martingale problem. The convergence takes place in a subspace of the probability measures on trajectories, the topology of which being possibly finer than the usual weak topology.
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