We use the perturbative renormalization group to study classical stochastic
processes with memory. We focus on the generalized Langevin dynamics of the
\phi^4 Ginzburg-Landau model with additive noise, the correlations of which are
local in space but decay as a power-law with exponent \alpha in time. These
correlations are assumed to be due to the coupling to an equilibrium thermal
bath. We study both the equilibrium dynamics at the critical point and quenches
towards it, deriving the corresponding scaling forms and the associated
equilibrium and non-equilibrium critical exponents \eta, \nu, z and \theta. We
show that, while the first two retain their equilibrium values independently of
\alpha, the non-Markovian character of the dynamics affects the dynamic
exponents (z and \theta) for \alpha < \alpha_c(D, N) where D is the spatial
dimensionality, N the number of components of the order parameter, and
\alpha_c(x,y) a function which we determine at second order in 4-D. We analyze
the dependence of the asymptotic fluctuation-dissipation ratio on various
parameters, including \alpha. We discuss the implications of our results for
several physical situations
