Anomalous law of cooling.

We analyze the temperature relaxation phenomena of systems in contact with a thermal reservoir that undergoes a non-Markovian diffusion process. From a generalized Langevin equation, we show that the temperature is governed by a law of cooling of the Newton's law type in which the relaxation time depends on the velocity autocorrelation and is then characterized by the memory function. The analysis of the temperature decay reveals the existence of an anomalous cooling in which the temperature may oscillate. Despite this anomalous behavior, we show that the variation of entropy remains always positive in accordance with the second law of thermodynamics.