In this paper, global exponential stochastic stability based continuous gain-scheduled robust L-two-Linfinity filtering problem is studied for a class of stochastic neutral systems subject to time-varying parameters. First, the stochastic time-varying neutral systems are described by a series of stochastic time-constant systems at some selected time points, then based on stochastic Lyapunov-Krasovskii functional approach, a new globally exponentially stochastically stabilizable criterion is derived for each of the jumping system by means of linear matrix inequalities. Subsequently, Ltwo-L-infinity filtering systems are designed for such linear jump systems. Finally, continuous gain-scheduled approach is employed to design time-varying filter systems for the whole working region. A simulation example shows the effectiveness and potential of the developed techniques.