Gray literature consists of materials published outside of the traditional, peer-reviewed, scholarly journal and can include such things as preprints, conference proceedings, technical reports, dissertations, etc. Gray literature may qualify as a primary source if it describes original research. Quality standards for gray literature may be less stringent (or non-existent) so you should exercise more caution when using these materials. You can find a lot of gray literature by searching MathSciNet and Zentralblatt Math (see links on "Find Articles" tab), but this page also has some resources you might want to explore.
An e-print is an electronically published research article and might refer to a pre-print, post-print, reprint, technical report, or other document. A preprint is a draft of an article not yet peer-reviewed or accepted for publication in a scholarly journal. A postprint is the peer-reviewed and accepted version of an article. A reprint is a copy of the published article.The purpose of e-prints is to share research findings with others prior to formal publication, as well as after publication.
Proceedings are the collected papers delivered at an academic conference, workshop, symposia, or other meeting – and compiled into a publication.