The classical theory of Brownian motion of a periodic system is generalized to include the case where the period of the system is very short compared with times characteristic of its interaction with the environment. The system is described in terms of action and phase variables, which are constants of the motion in the absence of interactions. The probability density of the system, averaged over a time which is very long compared with a period of the motion, and long enough to include many interactions, is shown to be a solution of a Fokker‐Planck equation in action‐phase variables. Conditions for this are that the interaction is sufficiently weak and that the environment remains in thermal equilibrium. Explicit expressions for the friction coefficients are obtained. When the probability density of the system is independent of its phase, its irreversible behavior can be described as a random walk in action space. This is a reasonable classical analog to the quantum‐statistical description by means of the Pauli equation. The properties of a harmonic oscillator with a special interaction are considered in detail; it is shown that the friction coefficients are proportional to the spectral density of a fluctuating force associated with the interaction, evaluated at the frequency of the oscillator.