Using projection techniques we derive the equation of motion for the third-order nonlinear optical polarization of a strongly correlated system. We do not assume a Hartree-Fock ground state, but include the ground state correlations via time-independent interaction parameters and energies. Our theory can be used to describe the ultrafast nonlinear optical response of a strongly correlated cold electron gas, such as the two-dimensional electron gas in the quantum Hall effect regime. For this system, we show that the collective electronic excitations lead to a time-dependent coupling of the Landau level magnetoexcitons and a strong non-Markovian exciton dephasing. We discuss the signatures in the transient four-wave-mixing spectrum. © 2003 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.