We provide a stochastic thermodynamic description across scales for $N$ identical units with all-to-all interactions that are driven away from equilibrium by different reservoirs and external forces. We start at the microscopic level with Poisson rates describing transitions between many-body states. We then identify an exact coarse graining leading to a mesoscopic description in terms of Poisson transitions between system occupations. We proceed studying macroscopic fluctuations using the Martin-Siggia-Rose formalism and large deviation theory. In the macroscopic limit ($N to infty$), we derive the exact nonlinear (mean-field) rate equation describing the deterministic dynamics of the most likely occupations. We identify the scaling of the energetics and kinetics ensuring thermodynamic consistency (including the detailed fluctuation theorem) across microscopic, mesoscopic and macroscopic scales. The conceptually different nature of the Shannon entropy (and of the ensuing stochastic thermodynamics) at different scales is also outlined. Macroscopic fluctuations are calculated semi-analytically in an out-of-equilibrium Ising model. Our work provides a powerful framework to study thermodynamics of nonequilibrium phase transitions.
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