Estate Oven wont light

The pilot light on my oven will ignite when I hold the oven knob but when I turn it to say 250 or any other temp. it automatically goes out. I have had this problem since i have moved in. I have had four repairmen come over and it has always been as simple as them lighting it. I have followed their directions exactly and it still isnt working. This is a brand new oven and im really frustrated can anyone help?