On solutions of a class of non-Markovian Fokker-Planck equations
  We show that a formal solution of a rather general non-Markovian Fokker-Planck equation can be represented in a form of an integral decomposition and thus can be expressed through the solution of the Markovian equation with the same Fokker-Planck operator. This allows us to classify memory kernels into safe ones, for which the solution is always a probability density, and dangerous ones, when this is not guaranteed. The first situation describes random processes subordinated to a Wiener process, while the second one typically corresponds to random processes showing a strong ballistic component. In this case the non-Markovian Fokker-Planck equation is only valid in a restricted range of parameters, initial and boundary conditions. 
I.M. Sokolov