A Pseudo-Markov Property for Controlled Diffusion Processes

In this note, we propose two different approaches to rigorously justify a pseudo-Markov property for controlled diffusion processes which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic control literature. The first approach develops a sketch of proof proposed by Fleming and Souganidis [Indiana Univ. Math. J., 38 (1989), pp. 293--314]. The second approach is based on an enlargement of the original state space and a controlled martingale problem. We clarify some measurability and topological issues raised by these two approaches.