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I can solve the pde (with a homogeneous BC) however trying to impose the actual BC makes it seem impossible. I think that using Green's functions will help - as I then have a convolution of the green's function with the BC - but I am finding it difficult to find any literature on this case, i.e. homogen pde & nonhomogen BCs.

Could anyone point me in the right direction? Below is the pde...

[tex]\frac{\partial u}{\partial t}+ a x \frac{\partial^2 u}{\partial x^2} + b \frac{\partial u}{\partial x}=0[/tex]

with BC:

[tex] u(x,T) = x-\rho \,\, \mbox{for}\,\, x>\rho[/tex]

[tex]\qquad =0 [/tex] otherwise

Thanks!