You have one of two things going on here either a thermocouple or a pilot safty valve failing. If you hold in the g/v button and the pilot will stay on but then go off when you let the button go you have a bad thermocouple. The 2nd is another option possibly installed on your fryer which is a pilot safty device it will have a large red button usually accessible from the outside or behind the front cover. Also you need to make sure you have gas present to the unit as well.