The Fokker-Planck-Kolmogorov equations for nonlinear stochastic dynamic system was studied.The CrankNicolson finite difference scheme for differitial equations and the forthorder central difference scheme for differitial operators were discussed. And combining the forthorder central difference scheme with the CrankNicolson finite difference scheme, the numerical solution for FPK equations using the forthorder central C-N scheme was obtained. The numerical solution was compared with the analytic solution for FPK equations. The numerical results show that the method can overcomes the difficulties of other methods, such as the big value of probability density function at tail .