The cheap and easy: Sometimes the pilot light will not stay lit because of corrosion on the mercury vapor bulb (mistakenly called a thermocouple on gas ranges). The corrosion takes away from the ability for it to heat properly, similar to how it affects heat of a soldering iron. Many times you can clean the bulb with sand paper or an emery board to bring it back to life. Another quick fix may be to clean the pilot light with a torch cleaner. If there is corrosion in it not allowing the temperature control unit to increase the pilot light enough to properly engulf the mercury vapor switch.
Please see my comments: here for a few more ideas. If nothing in these 2 posts helps you then more than likely you will need to replace a part or 2. I worked on commercial restaurant equipment in the 90's professionally. Please tell us more.
Added with Edit:
I apologize, I was reading this post again and noticed I may have missed somethings. It has been a long time since I worked on one of these and I approached this problem like it had been previously working on the site. If this is a new to you install, I would add: Make sure the pressure regulator is set for the proper gas (LP or NAT) also there is a screw on the temperature control valve that has about a half of turn to it to change between the 2 gasses, it will be well marked. If you find things to be setup for the wrong gas you will also need to reset the jets or depending on the model change the jets. If you need to readjust he jets it is all the way in for LP. For NAT you need to go by the flame color - should be blue no yellow. Also on some of the Vulcan models the pilot adjustment for the oven is on the safety valve. On these models it will be missing from the temperature control and well marked on the safety valve. On some models they used flame switches or electronics to control the pilot. Without your model number I'm not going to comment on those variations