<DataGrid Name="dg_object" SelectionChanged="dg_object_SelectionChanged">
		 <DataGrid.Columns>
				<DataGridTextColumn IsReadOnly="True"  Width="*" Header="Number" Binding="{Binding   Number, Mode=TwoWay,UpdateSourceTrigger= PropertyChanged}"/>
                                <DataGridComboBoxColumn  Width="*" Header="Mark" SelectedValueBinding="{Binding  Mark,Mode= TwoWay,UpdateSourceTrigger=PropertyChanged}" />
		 </DataGrid.Columns>	
</DataGrid>

public DataGridList ComboBoxItemsSource = new DataGridList();
public DataGridList dgList = new DataGridList();

private void dg_object_SelectionChanged(object sender,SelectionChangedEventArgs e)
{
          //перед этим заполняем ComboBoxItemsSourceList
          ((DataGridComboBoxColumn) dg_object.Columns[1]).ItemsSource = ComboBoxItemsSource.MyObjectCollection.Select(c => c.Mark);
          dg_object.ItemsSource = dgList.MyObjectCollection;
}

public class DataGridList
{	
    public ObservableCollection<MyObject> MyObjectCollection{get;set;}

	public DataGridList()
	{
		MyObjectCollection = new ObservableCollection<MyObject>();
	}
	
}

public class MyObject : INotifyPropertyChanged
{
    public event PropertyChangedEventHandler PropertyChanged;

    private void SetProperty<T>(ref T field, T value, string name)
    {
            if (!EqualityComparer<T>.Default.Equals(field, value))
            {
                field = value;
                var handler = PropertyChanged;
                if (handler != null)
                {
                    handler(this, new PropertyChangedEventArgs(name));
                }
            }
    }
	
    private string _mark;
    public string Mark
    {
        get { return _mark; }
        set {SetProperty(ref _mark,value,"Mark");}
    }

    private int _number;
    public int Number
    {
        get { return _number; }
        set {SetProperty(ref _number, value, "Number");}
    }
	
}