Pymgmy elephants live in both Africa and Asia. The African pygmy elephant, is currently considered to be a tiny morph of the African forest elephant. The Borneo elephant, a well-documented variety of elephant, is also called “pygmy elephant.” This elephant, inhabiting tropical rainforest in north, was long thought to be identical to the Asian elephant and descended from a captive population. In 2003, DNA comparison revealed them to be probably a new subspecies.
The term pygmy elephant should not be confused with “dwarf elephant”, which is used for a number of extinct species of elephants that evolved their size due to island dwarfing.
More information on Pygmy elephant can be found on Wikipedia.