Abstract: This review introduces several theoretical approaches to incoherent nonlinear optics,including the methods employing the mutual coherence function,coherent density,self-consistent multimode theory, Wigner's transform,ray-optics, and thermokinetics. We shall focus on the recently developed thermokinetic approach.A comprehensive understanding of these theoretical methods will be valuable in our studies of incoherent nonlinear effects,and also helpful for the development and improvement of the theories of incoherent nonlinear optics.