Fokker-Planck-Kolmogorov (FPK) equation governs the probability density function of dynamic response of a particular class of linear or non-linear system to a random excitation. In this paper, a wavelet approach is proposed for solving FPK equation. Whole computational procedure that FPK equation is solved by using Shannon wavelet point-allotting method is illustrated. The numerical results show that this method has a good precision.