The LaTeX command for mathcal S (๐ฎ) is \mathcal{S}.
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Write \mathcal{S} inside math mode, that is between $โฆ$ for inline math or in a \[ โฆ \] or equation block for display math. It is part of core LaTeX math, so no extra package is required.
\mathcal{S} is a math-mode symbol: in running text, wrap it in $...$. With unicode-math under XeLaTeX or LuaLaTeX, typing ๐ฎ in a formula gives the same symbol.
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\mathcal{C}\mathcal{D}\mathcal{G}\mathcal{M}\mathcal{N}\mathcal{P}\mathcal{R}\mathcal{T}\mathcal{X}\mathscr{A}\mathfrak{g}\mathfrak{h}\mathfrak{n}\daggerMore math symbols in LaTeX: the full table or search all 350+ LaTeX symbols.
Use \mathcal{S} in math mode; it needs no extra package. For example, $\mathcal{S}$.
None: \mathcal{S} is built into LaTeX, so no extra package is required.