I want to disprove the following statement.
Every Lipschitz-Continuous function is almost everywhere continuous differentiable.
From Whitney-Extension theorem, we know that the derivative of a Lipschitz-continuous function is continuous on a set being arbitrary close to a co-nullset. Does there exist a counter-example for the statement on a co-null set? (Everything on the space with lebesgue measure)
My idea is to consider a nowhere continuous function $g(x)$ on a non-lebesgue null set, which is bounded $|g(x)|\leq M$ . Then, setting $$f(y)=\int_0^yg(x)dx$$, the function $f(x)$ is Lipschitz continuous. Using Rademacher-theorem, the derivative of $f$ is g. However, it is not obvious to me if such $g(x)$ exists and how does it looks like.