On the dynamic programming principle for controlled diffusion processes in a cylindrical region
We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region [0,T) × G. It is assumed that the functional to be maximized is in the Lagrange form with nonnegative integrand. Besides this we only adopt the standard assumptions, ensuring the existence of a unique strong solution of a stochastic differential equation for the controlled process.