I take it that it is the set screw whose hex derive that is stripped?

I'd suggest screw extractors.
https://www.mcmaster.com/products/easy-out-extractors/

In case you are not familiar with them, they are reverse threaded and tapered. As you push in and turn them with a hand tap wrench the threads dig into the inside of the hole that you drilled into the head (or in this case, possibly directly into the hex hole). Once it grips, it'll be easier for the threads to move than for the screw extractor to dig in further.

Might want to hit it with some lubricant (deep creep, WD-40, etc.) before you start.