a collision wall where rockets can go through

Is there a way to make a collision wall where no player can go through but the bullets and rockets and all can???

I have this open window in a map where you can jump on ledge if you want but you can fall out into the Skybox... So i need a collision wall there to stop players from falling of the ledge into the 'unknown'. If I place a collision wall there rockets and all will explode into the wall, making it very unnartural...
Is there some way so that the wall let the projectiles through....

Anyone can help?