  We consider Lipschitz-type backward stochastic differential equations (BSDEs)
driven by cylindrical martingales on the space of continuous functions. We show
the existence and uniqueness of the solution of such infinite-dimensional BSDEs
and prove that the sequence of solutions of corresponding finite-dimensional
BSDEs approximates the original solution. We also consider the hedging problem
in bond markets and prove that, for an approximately attainable contingent
claim, the sequence of locally risk-minimizing strategies based on small
markets converges to the generalized hedging strategy.
