Work is under way that could result in a licensing round in the frontier area in years to come.
The process will require extensive research into potential petroleum resources and environmental consequences.
"It is natural to look at Jan Mayen now, not least because Iceland is active in the area," said Energy Minister Terje Riis-Johansen.
Jan Mayen lies north-northeast of Iceland at about 71 degrees northern latitude, about the same as the Norwegian town of Hammerfest.
