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Ivanoff} and \\textit{E. Merzbach}, Set-indexed martingales. London: Chapman \\& Hall/CRC (2000; Zbl 0948.60039)]. In this paper, the authors study various types of H\u00f6lder regularity of the sample paths of \\(X_U\\). They consider several notions of H\u00f6lder continuity, which arise naturally from different extensions of one-parameter (or multiparameter) increments to the set-indexed setting.  Their first main result is a Kolmogorov-type criterion for the H\u00f6lder continuity of the sample paths based on the simple increments \\(X_U-X_V\\). The theorem is proved under additional technical assumptions on the indexing collection \\(\\mathcal A\\) and on the (pseudo-)distance function \\(d_{\\mathcal A}\\) on \\(\\mathcal A\\). The criterion is then applied to a set-indexed version of the harmonizable fractional stable motion, which cannot be treated with previous tools.  Another type of H\u00f6lder continuity is described in terms of the increment process \\(\\Delta X\\), whose definition relies on the inclusion-exclusion formula and extends naturally the rectangular increments of multiparameter processes. Under similar assumptions, an appropriate version of Kolmogorov's criterion also is proved.  The last type of path continuity considered in the paper is the pointwise continuity defined in terms of the point mass jump. This is the weakest form of continuity, as the corresponding version of Kolmogorov's criterion is proved without previous technical assumptions on the couple \\((\\mathcal A,d_{\\mathcal A})\\).  Different notions of H\u00f6lder regularity (and their local versions) then lead to various definitions of H\u00f6lder exponents, which the authors compare to one another and to the classical H\u00f6lder exponents of the projections of \\(X_U\\) on flows. In the case when \\(X_U\\) is a Gaussian process, almost sure values of these exponents are derived, uniformly along the sample paths. 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