In this paper we suggest a consistent approach to derivation of generalized
Fokker-Planck equation (GFPE) for Gaussian non-Markovian processes with
stationary increments. This approach allows us to construct the probability
density function (PDF) without a need to solve the GFPE. We employ our method
to obtain the GFPE and PDFs for free generalized Brownian motion and the one in
harmonic potential for the case of power-law correlation function of the noise.
We prove the fact that the considered systems may be described with
Einstein-Smoluchowski equation at high viscosity levels and long times. We also
compare the results with those obtained by other authors. At last, we calculate
PDF of thermodynamical work in the stochastic system which consists of a
particle embedded in a harmonic potential moving with constant velocity, and
check the work fluctuation theorem for such a system.Comment: 14 page