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We consider Ullersma's model of a damped harmonic oscillator interacting with a heat bath. We show that for large damping the oscillator does not undergo Brownian motion at any temperature. For high temperatures non-Markovian effects show up in initial slips only. For low temperatures we find, as further anomalies, power-law decay of time-dependent expectation values as well as a strong squeezing of the displacement and momentum uncertainties; again these anomalies are most strongly pronounced for strong damping.
Haake et al. (Tue,) studied this question.