  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.
