The thermal response of nonequilibrium systems requires the knowledge of concepts that go beyond entropy production. This is showed for systems obeying overdamped Langevin dynamics, either in steady states or going through a relaxation process. Namely, we derive the linear response to perturbations of the noise intensity, mapping it onto the quadratic response to a constant small force. The latter, displaying divergent terms, is explicitly regularised with a novel path-integral method. The nonequilibrium equivalents of heat capacity and thermal expansion coefficient are two applications of this approach, as we show with numerical examples.
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