Hi,
There is a lot of info on this online particularly for cold climates. Breeding in captivity has been done but it ain't easy. I think it requires a greenhouse.
breeding them on a small scale indoor is not that difficult and you don't need a greenhouse to do it - here in Germany are several people breeding them indoor. The key factor seems to be bright light and room to fly. Even there are some people who claim to breed them under low light conditions. But I don't know for how many generations.
Bright light:
1-2000Lux you get with a T8 fluorescent lamp or an energy saving lamp is not sufficient. According to Michael from
http://www.terrarienbilder.com ~7000 Lux (what he get's from his
Dulux-L) is probably the minimum. Myself, I use a 35Watt CDM-T light for about 3 hours a day. My breeding box is in the cellar and get's only a little bit indirect light from some frog tanks and the three hours from the 35W CDM-T in the evening.
My breeding box:
This photo was taken last year, when I did the first tests. Currently I use a bigger egg laying / maggot box inside the breeding box. Every couple of weeks I remove the egg laying / maggot box and put the content in a bigger maggot rearing box.

The harvest from my indoor breeding box:

There is an article about breeding them indoor:
Bruse,Frank;Meyer,Michael;Schmidt,Wolfgang: Ein interessantes Futtertier: Die schwarze Soldatenfliege (Hermetia illucens) In: Elaphe 1/2010 S.58
According to Bruse et al., you can already breed them in a box of 10 L.
On
http://www.terrarienbilder.com there is a thread
>>click here<< with a lot of information and also photos how to breed them indoor. With the information from there one should be able to breed them indoor!
Best regards,
Martin