  In this article we study the convergence of the Nash Equilibria in a N-player
differential game towards the optimal strategies in the Mean Field Games, when
the dynamic of the generic player includes a reflection process which
guarantees the invariance of the state space. The well-posedness of the Master
Equation allows us to use its solution U in order to construct finite
dimensional projections, which will converge, in some suitable spaces, to the
solution of the Nash system.
