Proof. The idea is to regard as approximately defining a locally convex function on in the sense of Def. 3.22, and then the problem is essentially to prove an effective version of the extension property (cf. Prop. 3.27). We will outline the main modifications.
We will produce by mimicking the Legendre duality construction in Prop. 3.19.
For , define
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where it is tacitly understood that is defined only over , and the sup is taken over all choices of whenever is defined. Since are uniformly bounded on , we see . We then define a convex function on by another Legendre transform
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which is admissible because is bounded. By the same reasoning in Prop. 3.19, on ,
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We are only left to show
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which amounts to showing that there exists , such that for any ,
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