With the deepening of economic globalization, the concept of win-win cooperation is more and more accepted by people and the cooperative game is applied appropriately to various fields. Compared with the static cooperative game, the dynamic game is subject to dynamic systems, which possess the features of optimizing actions, the co-existence of multiple players, and enduring consequences of decisions and robustness with regard to variability in the environment. Because the dynamic system is always disturbed by some random perturbations, it is natural to consider these internal random perturbations and external random disturbances in the dynamic model. The stochastic dynamic cooperative game may be one of the most complex decision-making forms, as it considers the interaction among strategic behavior, dynamic evolution and stochastic factors. Based on the above discussions, we generalize the progress of the stochastic cooperative game in the multiobjective dynamic optimization: Firstly, the research background of the cooperative game in the multiobjective optimization problem is reviewed, and the definition and fundamental properties of Pareto optimality are presented; secondly, the deterministic cooperative game is summarized; moreover, the stochastic cooperative game and the mean-field stochastic cooperative game are summarized; finally, several future research directions of the stochastic cooperative game are proposed.