This paper discusses the stochastic H-2 / H-infinity control problem with state-dependent noise. By means of the stabilization, exact observability and stochastic detectability of stochastic systems, the infinite horizon stochastic H-2 / H-infinity control design is developed. For the finite horizon H-2 / H-infinity control problem, our results generalize the corresponding deterministic ones to the stochastic models. Finally, the observer-based suboptimal stochastic H-2 / H-infinity control is discussed in which the state variables cannot be measured directly, and a feasible design algorithm is proposed.