Forward Fokker-Planck equation for stochastic differential equation with colored noise

Question

It comes from an exam I took years ago, but until today, I still don't know the answer. Given a Langevin equation $$ \dot x = -kx + \sqrt{\Gamma}\xi, $$ where $\xi(t)$ is a colored noise satisfying $\langle \xi(t)\xi(t') \rangle=e^{-\gamma|t-t'|}$, prove that the forward Fokker-Planck equation is $$ \frac{\partial P}{\partial t} = \frac{\partial}{\partial x}(kxP)+\frac{\Gamma[1-e^{-(k+\gamma)t}]}{k+\gamma}{\frac{\partial^2 P}{\partial x^2}}. $$ I tried to search for texts like Gardiner and van Kampen for standard treatments but I could not find anything useful.