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The paper studies the exact solution of two kinds of generalized Fokker–Planck equations in which the integral kernels are given either by the distributed order function k 1 (t) = ∫ 0 1 t − μ / Γ (1 − μ) d μ or the distributed order Prabhakar function k 2 (α , γ ; λ ; t) = ∫ 0 1 e α , 1 − μ − γ (λ ; t) d μ , where the Prabhakar function is denoted as e α , 1 − μ − γ (λ ; t). Both of these integral kernels can be called the fading memory functions and are the Stieltjes functions. It is also shown that their Stieltjes character is enough to ensure the non-negativity of the mean square values and higher even moments. The odd moments vanish. Thus, the solution of generalized Fokker–Planck equations can be called the probability density functions. We introduce also the Volterra-Prabhakar function and its generalization which are involved in the definition of k 2 (α , γ ; λ ; t) and generated by it the probability density function p 2 (x , t). [ABSTRACT FROM AUTHOR]