An Extension Theorem for convex functions of class $C^{1,1}$ on Hilbert spaces

Let $\mathbb{H}$ be a Hilbert space, $E \subset \mathbb{H}$ be an arbitrary subset and $f: E \rightarrow \mathbb{R}, \: G: E \rightarrow \mathbb{H}$ be two functions. We give a necessary and sufficient condition on the pair $(f,G)$ for the existence of a \textit{convex} function $F\in C^{1,1}(\mathbb{H})$ such that $F=f$ and $\nabla F =G$ on $E$. We also show that, if this condition is met, $F$ can be taken so that $\textrm{Lip}(\nabla F) = \textrm{Lip}(G)$. We give a geometrical application of this result, concerning interpolation of sets by boundaries of $C^{1,1}$ convex bodies in $\mathbb{H}$. Finally, we give a counterexample to a related question concerning smooth convex extensions of smooth convex functions with derivatives which are not uniformly continuous.