Global approximation of convex functions by differentiable convex   functions on Banach spaces
  We show that if $X$ is a Banach space whose dual $X^{*}$ has an equivalent locally uniformly rotund (LUR) norm, then for every open convex $U\subseteq X$, for every $\varepsilon >0$, and for every continuous and convex function $f:U \rightarrow \mathbb{R}$ (not necessarily bounded on bounded sets) there exists a convex function $g:X \rightarrow \mathbb{R}$ of class $C^1(U)$ such that $f-\varepsilon\leq g\leq f$ on $U.$ We also show how the problem of global approximation of continuous (not necessarily bounded on bounded sets) and convex functions by $C^k$ smooth convex functions can be reduced to the problem of global approximation of Lipschitz convex functions by $C^k$ smooth convex functions. 
Daniel Azagra and Carlos Mudarra
math.FA