Kolmogorov’s example of a measurable function not (generally) differentiable In [1, page 7], the author says. 

Kolmogorov showed that if the function $$f(x) = \sum_{n=1}^{\infty} \frac{\cos 3^n x}{3^n}$$ has a finite or infinite generalized derivative on a set of positive measure, then the function is nonmeasurable.

Where can I find a proof/explanation of this result (and/or other similar results) in English? The reference doesn't have to be to Kolmogorov's orignal paper; for example, a modern exposition would suffice (and might very well be better).
[1] A. N. Shiryaev, "Andrei Nikolaevich Kolmogorov", Theory of Probability
and Applications, vol 34, no. 1, 1988.
Note that I also posted this question on MathOverflow. Since it's just a reference request, I don't think cross-posting is a big deal in this case.

This question has been asked and answered on MathOverflow. I have replicated the accepted answer by Raymond Manzoni below.

A translation in english is in "Selected Works of A.N. Kolmogorov I" : "On the possibility of a general definition of derivative, integral and summation of divergent series"  (page 33 and 34). 

