Most pilot lights work off of a thermo-couple. There is a flexible piece of metal that the pilot keeps warm. This piece of metal goes back to the regulator. As long as the thermo-couple stays warm then it keeps to pilot supplied with gas. If the pilot goes out, or the thermo-couple is not passing that heat back to the regulator, then the flow of gas is stopped.
Seeing as how yours is relatively new I am not certain that you have a bad thermo-couple. Also, I do not know if they use something different on your oven.
Usually, what causes them to act up is that they get dirty and build up aome "insulation" and will not conduct heat. The pilot is supposed to be pointed so that the thermo-couple is directly above the pilot. You can check to make sure that the "wire" is above the pilot.