Stochastic integration for set-indexed processes

In this paper, we are concerned with the construction of a stochastic integ ral, when the integrator is a set-indexed stochastic process. For this purp ose, we adopt Blei's point of view and we get this integral by means of the bimeasure he introduced. This enables us to enlarge the class of integrato rs. Here, the integral is first defined for point-indexed integrands and la ter for set-indexed ones. Then we generalize this definition to local proce sses.