Langevin equation is the equation of motion of a particle in a fluid under random forces due to thermodynamical fluctuation of the fluid (magnitude $\propto \sqrt{T \text{drag coefficient}}$), drag force (drag coeficient $\times$ mass $\times$ velocity)and other deterministic forces. It is an example of the McKean-Vlasov SDE

Fokker-Planck equation for the probability distribution: distribution of a solution to a SDE.