Stochastic dynamical systems provide essential mathematical frameworks for modeling complex real-world phenomena. The Fokker-Planck-Kolmogorov (FPK) equation governs the evolution of probability density functions associated with stochastic system trajectories. Developing robust numerical methods for solving the FPK equation is critical for understanding and predicting stochastic behavior. Here, we introduce the distribution self-adaptive normalized physics-informed neural network (DSN-PINNs) for solving time-dependent FPK equations through the integration of soft normalization constraints with adaptive resampling strategies. Specifically, we employ a normalization-enhanced PINN model in a pretraining phase to establish the solution's global structure and scale, generating a reliable prior distribution. Subsequently, guided by this prior, we dynamically reallocate training points via weighted kernel density estimation, concentrating computational resources on regions most representative of the underlying probability distribution throughout the learning process. The key innovation lies in our method's ability to exploit the intrinsic structural properties of stochastic dynamics while maintaining computational accuracy and implementation simplicity. We demonstrate the framework's effectiveness through comprehensive numerical experiments and comparative analyses with existing methods, including validation on real-world economic datasets.

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