Thorin processes and their subordination

Abstract

A Thorin process is a stochastic process with independent and stationary increments whose laws are weak limits of finite convolutions of gamma distributions. Many popular L\'evy processes fall under this class. The Thorin class can be characterized by a representing triplet that conveys more information on the process compared to the L\'evy triplet. In this paper we investigate some relationships between the Thorin structure and the process properties, and find that the support of the Thorin measure characterizes the existence of the critical exponential moment, as well as the asymptotic equivalence between the L\'evy tail function and the complementary distribution function. Furthermore, it is illustrated how univariate Brownian subordination with respect to Thorin subordinators produces Thorin processes whose representing measure is given by a pushforward with respect to a hyperbolic function, leading to arguably easier formulae compared to the Bochner integral determining the L\'evy measure. We provide a full account of the theory of multivariate Thorin processes, starting from the Thorin--Bondesson representation for the characteristic exponent, and highlight the roles of the Thorin measure in the analysis of density functions, moments, path variation and subordination. Various old and new examples are discussed. We finally detail a treatment of subordination of gamma processes with respect to negative binomial subordinators which is made possible by the Thorin-Bondesson representation.