citing work that definitely won't be published I imagine this is probably a duplicate, but when I search I can only find questions about citing work that is likely to be published.

I'm writing a math paper for publication, and I want to cite a paper available only on the authors website.  It is unpublished and it won't be published anywhere else.  How appropriate is this and if the answer is not "completely inappropriate", how do I cite it?
Simply cite as you would any other website. Alternatively, you can use the unpublished works citation style. Citations don't have to point to other journal articles.

Do note, though, that the fact that the work you're citing didn't go through peer review and likely isn't as well known will impact how people view the citation. If that particular reference is critical to your paper you may want to search for published literature that supports your argument as well.