We study the approximation of the distribution of Piecewise Deterministic Markov Processes jumping when the process reaches some boundary of the domain. We first introduce an equation to which the marginal distributions of the process are solution, which generalizes Kolmogorov equations in this case. We then prove the uniqueness of this solution, and propose a finite volume numerical scheme for its approximation. This finite volume scheme enables the approximation of the asymptotic steady problem. We then prove the convergence of this numerical scheme to the marginal distributions of the process. We conclude this paper by some properties of the marginal distributions, directly resulting from the generalized Kolmogorov equation with boundary.