Fahrenheit (named Indigo Prophecy in North America) was developed by Quantic Dream in 2005. It was Quantic Dream's last game before Heavy Rain, and bears resemblance to it in terms of gameplay and style.
In the endings where Shaun survives and Ethan survives and stays out of prison, Ethan, Shaun, and possibly Madison (if she survives and is forgiven by Ethan) move into an apartment similar, but not identical, to that of Lucas Kane. Some of the distinguishing aspects of Lucas Kane's apartment, such as the glass door leading to an outside balcony, are missing in Ethan's new apartment.
The setting of Heavy Rain (and thus Ethan's new apartment) also is likely in Philadelphia, indicated by the Philadelphia map in Scott Shelby's office, the Philadelphia addresses of Lauren Winter's husband and Jackson "Mad Jack" Neville, and Quantic Dream's David Cage's statement that the city Heavy Rain is set in is modeled after Philadelphia. On the other hand, Fahrenheit and therefore the setting of Lucas Kane's apartment was in New York.