In　this　paper,　we　shall　firstly　discuss　the　subtraction　of　sets,　and　prove　some　properties.　We　also　introduce　the　concepts　of　set-valued　increasing　process　and　finite　variation　function　of　set-valued　process.　Then　we　define　the　integral　of　set-valued　random　process　with　respect　to　finite　variation　process　and　discuss　its　properties.　Finally　we　extend　the　results　to　fuzzy　set-valued　version.　©　2005　IEEE.