 Solution

The functions $g_n$ are nonnegative. The change of variables $u=nx$ and the given Gaussian integral implyFor every fixed $\delta >0$,Thus the mass concentrates at the endpoint zero. This is a one-sided approximate identity.

Because $f$ is continuous on the compact interval $[0,1]$, it is a bounded function; put $B={\sup }_{[0,1]}|f|$. Given $\epsilon >0$, choose $\delta \in (0,1)$ with $|f(x)-f(0)|<\epsilon$ for $0\le x<\delta$. Splitting the integral near and away from zero yieldsTaking the limit superior gives a bound of $\epsilon$, and $\epsilon$ was arbitrary. ConsequentlyOnly continuity at zero and boundedness on $[0,1]$ were needed for this final estimate; the assumed continuity everywhere also guarantees the ordinary integrals exist.