  We show that the increments of generalized Wiener process, useful to describe
non-Gaussian white noise sources, have the properties of infinitely divisible
random processes. Using functional approach and the new correlation formula for
non-Gaussian white noise we derive directly from Langevin equation, with such a
random source, the Kolmogorov's equation for Markovian non-Gaussian process.
  From this equation we obtain the Fokker-Planck equation for nonlinear system
driven by white Gaussian noise, the Kolmogorov-Feller equation for
discontinuous Markovian processes, and the fractional Fokker-Planck equation
for anomalous diffusion. The stationary probability distributions for some
simple cases of anomalous diffusion are derived.
