  We analyze the Levy processes produced by means of two interconnected classes
of non stable, infinitely divisible distribution: the Variance Gamma and the
Student laws. While the Variance Gamma family is closed under convolution, the
Student one is not: this makes its time evolution more complicated. We prove
that -- at least for one particular type of Student processes suggested by
recent empirical results, and for integral times -- the distribution of the
process is a mixture of other types of Student distributions, randomized by
means of a new probability distribution. The mixture is such that along the
time the asymptotic behavior of the probability density functions always
coincide with that of the generating Student law. We put forward the conjecture
that this can be a general feature of the Student processes. We finally analyze
the Ornstein--Uhlenbeck process driven by our Levy noises and show a few
simulation of it.
