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Focussing on a paradigmatic small system consisting of two coupled damped oscillators, we survey the role of the L'evy-It^o nature of the noise in the thermal conductance. For white noises, we prove that the L'evy-It^o composition (Lebesgue measure) of the noise is irrelevant for the thermal conductance of a non-equilibrium linearly coupled chain, which signals the independence between mechanical and thermodynamical properties. On the other hand, for the non-linearly coupled case, the two types of properties mix and the explicit definition of the noise plays a central role.

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