Under the hypothesis that security returns have bounded uncertainty,considering transaction costs,based on the theory of differential game,a optimal consumption and investment decision problem in financial market is studied.First,the differential game model for optimal consumption and investment decision problem was established.Secondly,the differential game proved to have a unique value function,and a partial differential equation is obtained for the value function.Third,The worst case optimal consumption and investment strategies are given．Finally，the．solution of IB partial differential equation in financial investment is made to explore the properties of the solution roughly,