M. Abundo, Some conditional crossing results of Brownian motion over a piecewise-linear boundary, Statist. Probab. Lett, vol.58, issue.2, pp.131-145, 2002.

I. Althöfer, M. Beckmann, and F. Salzer, On some random walk games with diffusion control, Advances in Computer Games, pp.65-75, 2015.

S. Ankirchner, C. Blanchet-scalliet, and M. Jeanblanc, Controlling the occupation time of an exponential martingale, Applied Mathematics & Optimization, vol.76, issue.2, pp.415-428, 2017.
URL : https://hal.archives-ouvertes.fr/hal-01227899

S. Asmussen and H. Albrecher, Ruin probabilities, 2010.
URL : https://hal.archives-ouvertes.fr/hal-00569254

S. Asmussen and M. Taksar, Controlled diffusion models for optimal dividend pay-out, Insurance: Mathematics and Economics, vol.20, issue.1, pp.1-15, 1997.

M. Avellaneda, A. Levy, and A. Parás, Pricing and hedging derivative securities in markets with uncertain volatilities, Applied Mathematical Finance, vol.2, issue.2, pp.73-88, 1995.

P. Azcue and N. Muler, Stochastic optimization in insurance: a dynamic programming approach, 2014.

N. Bäuerle and E. Bayraktar, A note on applications of stochastic ordering to control problems in insurance and finance, Stochastics An International Journal of Probability and Stochastic Processes, vol.86, issue.2, pp.330-340, 2014.

J. Bertoin, L. Chaumont, and J. Pitman, Path transformations of first passage bridges, Electronic Communications in Probability, vol.8, pp.155-166, 2003.
URL : https://hal.archives-ouvertes.fr/hal-00104803

P. Biane and M. Yor, Quelques précisions sur le méandre brownien, vol.112, pp.101-109, 1988.

A. N. Borodin and P. Salminen, Handbook of Brownian motion-facts and formulae. Probability and its Applications, 2002.

S. Browne, Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin, Mathematics of operations research, vol.20, issue.4, pp.937-958, 1995.

S. , D. Promislow, and V. R. Young, Minimizing the probability of ruin when claims follow brownian motion with drift, North American Actuarial Journal, vol.9, issue.3, pp.110-128, 2005.

L. Denis and C. Martini, A theoretical framework for the pricing of contingent claims in the presence of model uncertainty, Ann. Appl. Probab, vol.16, issue.2, pp.827-852, 2006.

A. Fokas and K. Kalimeris, The heat equation in the interior of an equilateral triangle, stud. Appl. Math, vol.124, pp.283-305, 2010.

C. Hipp and M. Vogt, Optimal dynamic xl reinsurance, ASTIN Bulletin: The Journal of the IAA, vol.33, issue.2, pp.193-207, 2003.

Z. Liang and J. Guo, Optimal proportional reinsurance and ruin probability, Stochastic Models, vol.23, pp.333-350, 2007.

A. Matoussi, D. Possamaï, and C. Zhou, Robust utility maximization in nondominated models with 2bsde: The uncertain volatility model, Mathematical Finance, vol.25, issue.2, pp.258-287, 2015.
URL : https://hal.archives-ouvertes.fr/hal-00919124

J. M. Mcnamara, Optimal control of the diffusion coefficient of a simple diffusion process, Math. Oper. Res, vol.8, issue.3, pp.373-380, 1983.

S. Peng, G-expectation, g-brownian motion and related stochastic calculus of itô type, Stochastic analysis and applications, pp.541-567, 2007.

P. Salminen, On last exit decompositions of linear diffusions, Studia Sci. Math. Hungar, vol.33, issue.1-3, pp.251-262, 1997.

P. Salminen and M. Yor, On hitting times of affine boundaries by reflecting brownian motion and bessel processes, Periodica Mathematica Hungarica, vol.62, issue.1, pp.75-101, 2011.
URL : https://hal.archives-ouvertes.fr/hal-00657767

H. Schmidli, Optimal proportional reinsurance policies in a dynamic setting, Scandinavian Actuarial Journal, issue.1, pp.55-68, 2001.

H. Schmidli, Stochastic control in insurance, 2007.

H. Schmidli, On minimizing the ruin probability by investment and reinsurance, The Annals of Applied Probability, vol.12, issue.3, pp.890-907, 2002.

W. Smith and G. Watson, Diffusion out of a triangle, Journal of Applied Probability, vol.4, issue.3, pp.479-488, 1967.

D. W. Stephens, The logic of risk-sensitive foraging preferences, Anim. Behav, vol.29, pp.628-629, 1981.