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The paper aims at discussing the set-valued Choquet integral, which is the integral of set-valued random variables with respect to capacities. We mainly present representation theorems of the set-valued random variable by using a sequence of Choquet integrable selections and then we investigate some properties of set-valued Choquet integrals, especially subadditive property and inequality of the metric of set-valued Choquet integrals. We also prove Fatou's Lemmas, Lebesgue dominated convergence theorem and monotone convergence theorem of set-valued Choquet integrals under the weaker conditions than that in previous works. (C) 2012 Elsevier B.V. All rights reserved.
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