Central limit results for jump diffusions with mean field interaction and a common factor

A system of N weakly interacting particles whose dynamics is given in terms of jump-diffusions with a common factor is considered. The common factor is described through another jump-diffusion and the coefficients of the evolution equation for each particle depend, in addition to its own state value, on the empirical measure of the states of the N particles and the common factor. A Central Limit Theorem, as N → ∞, is established. The limit law is described in terms of a certain Gaussian mixture. An application to models in mathematical finance of self-excited correlated defaults is described.