This play is set in an unspecified present year and not in any historical past. The play was produced first in 2000, and so perhaps we can argue that the play is set in a similar year. However, to place the play in its context, it is important to note that Proof followed the line of plays at that time that took as their subject mathematics and physics. Such plays seemed to try and both entertain and to make their audience strain their mental faculties at the same time.
Although the year in which the play is set is not specified, it is clear from the topics of conversation and the things that the characters do that we are in a very obvious and familiar present world. Hal talks about going to concerts and Catherine works insanely hard as a currency analyst. There is no sense in which the millieu of this play is unfamiliar to us, suggesting that it is set in our present.