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

BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets