If you need more context, this equation is on the second page of this document. My guess is it just means "whatever value $x$ can have" or "all values of $x$", but I just wanted to check.
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Capital letters such as $\mathcal{X}$ (calligraphy "X") in the picture provided can be used to denote a set; in this case, it is. However, this is not always the case as $f \subseteq \mathbb{R} \times \mathbb{R}$ (lower case script "f") is sometimes used to denote a function on $\mathbb{R}$. You may also see capital letters used to denote an element of a set such as in the definition of the limit of a sequence for example. It just depends on context and the author of the literature.
Taylor Rendon
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2This is highly context dependent. In my line of work, calligraphic capital letters typically denote topological vector spaces. I think that your assertion that $\mathcal{X}$ usually denotes a set (without further structure) is quite strong, and is more absolute than is realistic. I am also not at all certain that I understand the relevance of anything you've written past the first sentence. – Xander Henderson Jun 30 '20 at 04:53
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@Xander Henderson - thank you for your feedback! I believe my emphasis on “usually used” in the context of notation was strong throughout my answer. Past my first sentence, I wanted to give a few examples of the usage of different lower case and upper case letters to denote different objects and defend my claim that it truly does, in fact, depend on what you’re reading in the first place. – Taylor Rendon Jun 30 '20 at 05:00
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$\mathcal X$) – J. W. Tanner Jun 28 '20 at 21:57