Bitcoin Core and Blockchain.info Can I use the wallet I created in blockchain.info with my local Bitcoin Core program ?

Or in other words, can I transfer the online created wallet locally ? 
(by exporting or something similar)
You should be able to do this. You can retrieve your blockchain.info mnemonic seed phrase, and then enter it into the bitcoin core wallet to create a second instance of the same wallet. 

It is worth noting that after doing so, you will still be able to access your wallet through blockchain.info. Because of this, if you are only planning on using bitcoin core from this point on, it may be smarter to just create a new wallet with bitcoin core, and then send all of your bitcoin from blockchain.info wallet to bitcoin core wallet. This will reduce the possible attack vectors for someone trying to steal your bitcoin. Remember to make good backups of your mnemonic seed phrases!