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Stochastic gradient descent with momentum (SGDm) is one of the most popular optimization algorithms in deep learning. While there is a rich theory of SGDm for convex problems, the theory is considerably less developed in the context of deep learning where the problem is non-convex and the gradient noise might exhibit a heavy-tailed behavior, as empirically observed in recent studies. In this study, we consider a \emph{continuous-time} variant of SGDm, known as the underdamped Langevin dynamics (ULD), and investigate its asymptotic properties under heavy-tailed perturbations. Supported by recent studies from statistical physics, we argue both theoretically and empirically that the heavy-tails of such perturbations can result in a bias even when the step-size is small, in the sense that \emph{the optima of stationary distribution} of the dynamics might not match \emph{the optima of the cost function to be optimized}. As a remedy, we develop a novel framework, which we coin as \emph{fractional} ULD (FULD), and prove that FULD targets the so-called Gibbs distribution, whose optima exactly match the optima of the original cost. We observe that the Euler discretization of FULD has noteworthy algorithmic similarities with \emph{natural gradient} methods and \emph{gradient clipping}, bringing a new perspective on understanding their role in deep learning. We support our theory with experiments conducted on a synthetic model and neural networks.