For the quest "Promises to Keep" I returned Frost to the guy who wanted me to steal him. After he gave me the gold I attacked him and took the horse. While we were fighting the horse was attacking him for me so I figured it was mine now. My problem is that when I fast traveled with frost he disappeared and I never saw him again. I went to the gate of white run and he's not with that one guy, and I also went to Black-Briar lodge and he isn't there. Is there a way I can find him again or is he gone for good because the quest is already completed?

So then you gave him the horse for the gold right? And then you attacked him after? If so, then Frost isn't yours like you believed. He's gone now.