I saw that in is sometimes used and so is on.
For example,
Let $f$ and $f_k$, $k=1, 2, \cdots$, be measurable and finite a.e. in $E$. If $f_k\to{}f$ a.e. on $E$ and $|E|\lt+\infty$, then $\{f_k\}$ converge in measure on $E$ to $f$.
In the theorem above, both in $E$ and on $E$ are used. I am wondering the difference between them. For your information, a.e. means almost everywhere.
a.e.makes the difference here, it means that we go from talking about $f$ to talking about points in the domain (which we then restrict to $E$). – Henrik supports the community May 08 '16 at 10:18