In　this　paper,　we　shall　firstly　illustrate　why　we　should　introduce　the　Itô　type　set-valued　stochastic　differential　equation.　Then　we　shall　recall　the　Lebesgue　integral　of　a　set-valued　stochastic　process　with　respect　to　the　time　t　and　discuss　its　some　properties.　We　shall　also　obtain　the　theorem　of　existence　and　uniqueness　of　solution　of　Itô　type　set-valued　stochastic　differential　equation.　©　2008　Springer-Verlag　Berlin　Heidelberg.