Before revision:  We assume that the function \sigma satisfies a relatively mild condition expressed in terms of its local modulus of continuity in L^2, while the process is a Volterra type Gaussian process. The assumptions used by Forde and Zhang are more restrictive. It is supposed in their work that the function \sigma satisfies a global H\"{o and the process B is fractional Brownian motion.
After revision:  We assume that the function \sigma satisfies a relatively mild condition expressed in terms of its local modulus of continuity in L^2, while the process in such a model under the assumptions that the function \sigma satisfies a global H\"{o and the process B is fractional Brownian motion.