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Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2012, Article ID 750841, 16 pages doi:10.1155/2012/750841 Research Article Robust H2 /H∞ Filter Design for a Class of Nonlinear Stochastic Systems with State-Dependent Noise Weihai Zhang,1 Bor-Sen Chen,2 Li Sheng,3 and Ming Gao1 1 College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266590, China 2 Department of Electrical Engineering, National Tsing Hua University, Hsinchu 30013, Taiwan 3 College of Information and Control Engineering, China University of Petroleum (East China), Qingdao 266555, China Correspondence should be addressed to Weihai Zhang, w hzhang@163.com Received 17 June 2012; Accepted 24 August 2012 Academic Editor: Jun Hu Copyright q 2012 Weihai Zhang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. This paper investigates the problem of robust filter design for a class of nonlinear stochastic systems with state-dependent noise. The state and measurement are corrupted by stochastic uncertain exogenous disturbance and the dynamic system is modeled by Ito-type stochastic ˆ differential equations. For this class of nonlinear stochastic systems, the robust H∞ filter can be designed by solving linear matrix inequalities LMIs. Moreover, a mixed H2 /H∞ filtering problem is also solved by minimizing the total estimation error energy when the worst-case disturbance i