  We study the motion of charged Brownian particles in an external magnetic
field. It is found that a correlation appears between the components of
particle velocity in the case of anisotropic friction, approaching
asymptotically zero in the stationary limit. If magnetic field is smaller
compared to the critical value, determined by frictional anisotropy, the
relaxation of the correlation is non-oscillating in time. However, in a larger
magnetic field this relaxation becomes oscillating. The phenomenon is related
to the statistical dependence of the components of transformed random force
caused by the simultaneous influence of magnetic field and anisotropic
dissipation.
