Based on the Magnetospheric Multiscale (MMS) mission we look at magnetic field fluctuations in the Earth's magnetosheath. We apply the statistical analysis using a Fokker-Planck equation to investigate processes responsible for stochastic fluctuations in space plasmas. As already known, turbulence in the inertial range of hydromagnetic scales exhibits Markovian features. We have extended the statistical approach to much smaller scales in space, where kinetic theory should be applied. Here we study in detail and compare the characteristics of magnetic fluctuations behind the bow shock, inside the magnetosheath, and near the magnetopause. It appears that the first Kramers- Moyal coefficient is linear and the second term is quadratic function of magnetic increments, which describe drift and diffusion, correspondingly, in the entire magnetosheath. This should correspond to a generalization of Ornstein-Uhlenbeck process. We demonstrate that the second order approximation of the Fokker-Planck equation leads to non-Gaussian kappa distributions of the probability density functions. In all cases in the magnetosheath, the approximate power-law distributions are recovered. For some moderate scales we have the kappa distributions described by various peaked shapes with heavy tails. In particular, for large values of the kappa parameter this shape is reduced to the normal Gaussian distribution. It is worth noting that for smaller kinetic scales the rescaled distributions exhibit a universal global scale-invariance, consistently with the stationary solution of the Fokker-Planck equation. These results, especially on kinetic scales, could be important for a better understanding of the physical mechanism governing turbulent systems in space and astrophysical plasmas.