James suggestion is a good option, but remember that the non-linear gain is not applied to derivative term, that is, if you are using PI or P controller it will work as you are expecting, but if you are using PID the derivative term will continue to change the output even if the error is less than NL_GAP. If you want only integral action to be "stopped" inside a SP band, you can use also I_DEADBAND (integral deadband) parameter quite simply.
In reply to dmitriy sagadiev:
Dmitriy,
The Gain Scheduler is a module template in the DeltaV Configuration Library/Module Templates/AnalogdmitriyControl/PID_GAINSCHED. BOL explains it operations. For an existing PID module you can copy all but the PID out of this template and copy it to the existing module. There is a special detail display that goes with it. Emerson standard project configuration has a nice, compact version of this function.
James