We review recent progress in developing effective field theories (EFTs) for non-equilibrium processes at finite temperature, including a new formulation of fluctuating hydrodynamics, and a new proof of the second law of thermodynamics. There are a number of new elements in formulating EFTs for such systems. Firstly, the nature of IR variables is very different from those of a system in equilibrium or near the vacuum. Secondly, while all static properties of an equilibrium system can in principle be extracted from the partition function, there appears no such quantity which can capture all non-equilibrium properties.
Thirdly, non-equilibrium processes often involve dissipation which is notoriously difficult to deal with using an action principle. The purpose of the review is to explain how to address these issues in a pedagogic manner, with fluctuating hydrodynamics as a main example.