Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium

We study an equilibrium-based continuous asset pricing problem for the securities market. In previous work [M. Fujii and A. Takahashi (2022), SIAM J. Control Optim., 60, pp. 259--279], we have shown that a certain price process, which is given by solution to forward-backward stochastic differential equation of conditional McKean--Vlasov type, asymptotically clears market in large population limit. current work, under suitable conditions, show existence finite agent equilibrium its strong convergence corresponding mean-field limit 259--279]. As important byproduct, get direct estimate on difference between two markets: one consisting heterogeneous agents size other homogeneous infinite size.