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mathmari said:But then if $f_+'(x_n), f_-'(x_n)$ and so $f'(x_n)$ (for $n\in \mathbb{N}_0$) exist, do they not have to be equal to $0$ ?
Not necessarily.As we have seen, $f_+'(x_0)=f_-'(x_0)=f'(x_0)=1$, while $f'(x)=0$ everywhere else where $f'(x)$ is defined.
That is, $f'$ has a removable discontinuity in $x=0$. (Nerd)That's because for $f_\pm'(x_n)$, we evaluate $\frac{f(x_n+h)-f(x_n)}{h}$, where $f(x_n+h)$ and $f(x_n)$ can fall into different intervals.
And for the limit with $x\in D$, we evaluate $\frac{f(x+h)-f(x)}{h}$, where $f(x+h)$ and $f(x)$ are in the same interval. (Thinking)