Before revision:  In their work, Forde and Zhang assume that the function \sigma satisfies a global H\"{o is fractional Brownian motion, whereas in the present paper , the function \sigma satisfies a very mild condition expressed in terms of a local modulus of continuity  , while the process \widehat{B} is a general Volterra type Gaussian process.
After revision:  In their work, Forde and Zhang assume that the function \sigma satisfies a global H\"{o is fractional Brownian motion, whereas in the present paper , the function \sigma satisfies a relatively mild condition expressed in terms of a local modulus of continuity , while the process \widehat{B} is a general Volterra type Gaussian process.