Southeastern.
Caspian Sea
The Caspian Sea is in Europe.
The Caspian Sea is inside the European arid region (or desert). That is how the two are related to each other.
EuropeThe Caspian Sea is located in Europe
The Caspian sea is located where Asia meets South-East Europe.
Caspian Sea is in Asia; it is an error to consider this sea in Europe.
The Caspian Sea is located between Europe and Asia.
The Caspian Sea is located on the continental divide of Europe and Asia.
The Caspian Sea is partially in Europe, but mostly in Asia.
Europe
The Caspian Sea is located on the continental divide of Europe and Asia.
The Caspian sea is located between southeast Europe and western Asia. So you could say Europe and Asia.