My pilot light ignites but when you turn the knob to light the burner it goes out?

I'm not sure what unit you are troubleshooting but if the main burner is igniting and that main burner flame is blowing out the pilot flame, it's possible the pilot flame orifice needs to be cleaned. The orifice can get stopped up and produce a weak pilot. And I've seen a pilot lite, but be blown out by the combustion of the main burner igniting. Now you stated IT JUMPS. If you mean the pilot flame jumps, as if it gets large then weak and goes out, then the gas valve is giving you trouble and may need to be replaced.

the pilot light serves to purposes. it is the source of ignition for the main burner and is a safety device that detects wether there is a flame or not. if the pilot light stays on when you stop pressing the pilot light button then you need to turn the knob to the on position to light the main burner. the pilot light is not the on position. if the pilot light goes out when you stop pressing the pilot light button then the thermocouple or flame sensor needs replacing. good luck

see this steps and fix it. God bless you
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If there is no heat, check the electrical service panel for a burned fuse or tripped breaker. Relight the pilot light (see below).
If there is not enough heat, adjust the burner air shutter (see below); and clean the burner ports (see below).
If the pilot light does not light or does not stay lit, clean the pilot orifice carefully with a toothpick, test the thermocouple and replace it if it is faulty (see below).
If the flame flickers, adjust the pilot (see below).
If there is an exploding sound when the burner ignites, adjust the pilot to a higher setting and clean the pilot orifice and the burner ports.
If the burner takes more than a few seconds to ignite, clean the pilot orifice and adjust the pilot light.
If the burner flame is uneven, clean the burner ports. If the burner flame is very yellow, clean the burner; open vents in the furnace room to provide more air; adjust the burner air shutter.
To light the pilot on a standing-pilot (always on) ignition system, follow the lighting instructions located near the control. Otherwise, try these steps:
Light the pilot:

1. Press and hold the pilot control knob to start the pilot. Set the control knob to the pilot position. Hold a long match under the pilot gas port.
2. Press the control knob; the pilot should light. Hold the control knob down until the flame is burning brightly (about 30 seconds). Release pressure on the knob, and turn it to the on position.
3. If the pilot goes out when you release the control knob, try relighting, holding the control knob down longer. If the pilot again goes out, check the thermocouple (below).

Adjust the pilot:

1. Remove any cap covering the pilot adjusting screw on a combination control.
2. Turn the adjusting screw counterclockwise to increase the flame or clockwise to decrease it. It is correctly adjusted when the flame envelops the thermocouple bulb by 1/2 inch and appears dark blue with a small yellow tip.

Test and replace a thermocouple:

1. Hold the control knob to pilot and light the pilot as above.
2. Unscrew the thermocouple fitting with an open-ended wrench.
3. Set a multimeter to the DVC (lowest voltage) scale.
4. Clip one multimeter lead to the end of the thermocouple tube nearest the pilot and the other lead to the fitting on the other end of the tube.
5. If the multimeter shows a reading besides zero, the thermocouple is functioning. Replace the thermocouple tube.
6. If there is no reading, you will need to clean or replace the thermocouple following steps 7 through 11.
7. Release the control knob and shut off the main gas valve on the gas-supply pipe that leads into the burner. Shut off power to the burner at the electrical service panel .
8. Remove the thermocouple from its mounting bracket.
9. Wipe the combination control clean and install a new thermocouple, tightening it by hand, then give it a one-quarter turn with a wrench.
10. Insert the thermocouple into the pilot bracket, being careful to not crimp the tubing.
11. Turn on power to the furnace and relight the pilot (above).

Adjust an adjustable burner air shutter:

1. Set the thermostat to its highest setting to keep the burner running. Once the furnace has heated up, remove the burner access panel and loosen the locking screw.
2. Open the shutter by turning it to the right until the blue base of the flame appears to lift slightly from the burner port surface. Then close the shutter until the flame reseats itself on the surface.

Clean removable burner tubes and ports:

1. Shut off gas and power to the furnace.
2. Unscrew or loosen and remove the tubes from the supporting bracket.
3. Carefully clean the tubes with a brush or vacuum, making sure not to damage the burner ports.
4. Use a stiff wire to clear any debris from clogged ports.

Hello,

While your holding in the knob after lighting the pilot,their is a thermocoupler that is heating up and will hold automatically what your pushing in, that thermocoupler is defective

Pilot assembly is located inside the bottom compartment, between the the two middle burners while the gas valve is located under the burner manifold. Make sure that the gas line where the unit is connected is open. You need to turn the gas valve knob to "Pilot" position and depress it (to allow the gas to flow on pilot) then light the pilot assembly using a lighter with extended nozzle ( burner igniter). Once the flame is present at the pilot assembly, wait for about 15 seconds (allowing thermopile to heat up) the gradually release the gas valve knob. If the pilot flame is stable, turn the gas valve knob to "ON" position and set the thermostat to desired temperature setting. This will ignite the burners and heat up the oil to set temperature. Just remember, do not do this if there is no oil on fry tank.

let the pilot light burn for a few min and get hot after this try slowly moving the knob over to full burn. Sometimes it just need to heat up.

Are you holding the knob for 30 or more seconds,If so,Clean or replace the thermocouple/Flame sensor.