Prince William has touched upon their heartache following the news of the Queen's death.
MORE: Queen Elizabeth II's loving message to son Charles revealed
In a statement, William - who will now be known as the Prince of Wales - said: "On Thursday, the world lost an extraordinary leader, whose commitment to the country, the Realms and the Commonwealth was absolute. So much will be said in the days ahead about the meaning of her historic reign.
WATCH: The Queen’s historic reign spans an era of change
"I, however, have lost a grandmother. And while I will grieve her loss, I also feel incredibly grateful. I have had the benefit of The Queen's wisdom and reassurance into my fifth decade. My wife has had twenty years of her guidance and support. My three children have got to spend holidays with her and create memories that will last their whole lives.
"She was by my side at my happiest moments. And she was by my side during the saddest days of my life. I knew this day would come, but it will be some time before the reality of life without Grannie will truly feel real."
He continued: "I thank her for the kindness she showed my family and me. And I thank her on behalf of my generation for providing an example of service and dignity in public life that was from a different age, but always relevant to us all.
"My grandmother famously said that grief was the price we pay for love. All of the sadness we will feel in the coming weeks will be testament to the love we felt for our extraordinary Queen. I will honour her memory by supporting my father, The King, in every way I can."
William was close with his grandmother
The day before, King Charles announced their new titles in his historic address to the nation, saying how proud he was to bestow the title on his eldest son and heir.
MORE: The world pays tribute to Queen Elizabeth II - best pictures
It means William is following in his father's footsteps, and Kate has become the first person since Diana, Princess of Wales to use the title, which Diana held when she was married to Charles. Charles was created the Prince of Wales by the Queen when he was just nine years old, with the title belonging to him for more than 64 years.
Charles paid tribute to "our new Prince and Princess of Wales", saying they would "continue to inspire and lead our national conversations, helping to bring the marginal to the centre ground where vital help can be given".
The King said: "As my heir, William now assumes the Scottish titles which have meant so much to me. He succeeds me as Duke of Cornwall and takes on the responsibilities for the Duchy of Cornwall which I have undertaken for more than five decades.
The pair will be known as the Prince and Princess of Wales
"Today, I am proud to create him Prince of Wales, Tywysog Cymru, the country whose title I have been so greatly privileged to bear during so much of my life and duty.
"With Catherine beside him, our new Prince and Princess of Wales will, I know, continue to inspire and lead our national conversations, helping to bring the marginal to the centre ground where vital help can be given."
Buckingham Palace announced the death of the 96-year-old monarch, who passed away on Thursday afternoon at Balmoral.
"The Queen died peacefully at Balmoral this afternoon," the statement read. "The King and The Queen Consort will remain at Balmoral this evening and will return to London tomorrow."
Earlier on Thursday, Prince William was seen driving his uncles, the Duke of York and the Earl of Wessex, as well as the Countess of Wessex, to the Queen's royal residency in Balmoral.
Kate, 40, remained in Windsor with her children, Prince George, Princess Charlotte and Prince Louis who had their first full day at school.
MORE: The 15 Prime Ministers during the Queen's 70-year reign
The Queen leaves behind a family of adoring grandchildren and great-grandchildren. She was a mother of four, grandmother to eight and great-granny to 12 youngsters. Her grandchildren - Peter Phillips, Zara Tindall, Prince William, the Duke of Sussex, Princess Beatrice, Princess Eugenie, Lady Louise Windsor and Viscount Severn – all held a deep respect and admiration for their granny.
Prince William once said: "She may be my grandmother, but she is also very much the boss."
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