  The interrelationship between the non-Markovian stochastic Schr\"odinger
equations and the corresponding non-Markovian master equations is investigated
in the finite temperature regimes. We show that the general finite temperature
non-Markovian trajectories can be used to derive the corresponding
non-Markovian master equations. A simple, yet important solvable example is the
well-known damped harmonic oscillator model in which a harmonic oscillator is
coupled to a finite temperature reservoir in the rotating wave approximation.
The exact convolutionless master equation for the damped harmonic oscillator is
obtained by averaging the quantum trajectories relying upon no assumption of
coupling strength or time scale. The master equation derived in this way
automatically preserves the positivity, Hermiticity and unity.
