We study the numerical approximation of parabolic, possibly degenerate, Hamilton-Jacobi-Bellman (HJB) equations in bounded domains. It is well known that convergence of the numerical approximation to the exact solution of the equation (considered here in the viscosity sense) is achieved under the assumptions of monotonicity, consistency and stability of the scheme. While standard finite difference schemes are in general non monotone, the so-called semi-Lagrangian (SL) schemes are monotone by construction. These schemes make use of a wide stencil and, when the equation is set in a bounded domain, this typically causes an overstepping of the boundary. We discuss here a suitable modification of this scheme adapted to the treatment of boundary problems.