I write my notes in statistics with LaTeX. The lector uses a special E as the sample space and I can't find it in LaTeX. Are there any other calligraphic math font styles then
Here's what the symbol looks like handwritten:
See The Comprehensive LaTeX Symbol, page 68 for a pretty complete list of math fonts available and how to get to typeset them.
You can also check A comprehensive review of mathematics in (La)TeX, page 95 onwards.
You can try rsfs: The code