Does the complex Langevin method give unbiased results?

We investigate whether the stationary solution of the Fokker-Planck equation of the complex Langevin algorithm reproduces the correct expectation values. When the complex Langevin algorithm for an action S(x) is convergent, it produces an equivalent complex probability distribution P(x) which ideally would coincide with e(-S(x)). We show that the projected Fokker-Planck equation fulfilled by P(x) may contain an anomalous term whose form is made explicit. Such a term spoils the relation P(x) = e(-S)(x), introducing a bias in the expectation values. Through the analysis of several periodic and nonperiodic one-dimensional problems, using either exact or numerical solutions of the Fokker-Planck equation on the complex plane, it is shown that the anomaly is present quite generally. In fact, an anomaly is expected whenever the Langevin walker needs only a finite time to go to infinity and come back, and this is the case for typical actions. We conjecture that the anomaly is the rule rather than the exception in the one-dimensional case; however, this could change as the number of variables involved increases.