Thank you for the suggestions, a few questions though.
So far I have been trying to solve this using an EnsembleProblem as above, but it does not seem that init(prob) works if prob is an EnsembleProblem?
Further, I am doing this backwards in time, so I start at time N, perform an Euler-step for a set spatial points, do some computations (including solving a regression problem), then go back one time step to N-1, and repeat the process to N-2, N-3, …
The specific set of spatial points I have been using are coming from pre-generated paths of the same SDEprocess, but like I said, my problem right now is going backwards in time and doing these computations. Is this compatible with integrator or callbacks?