The work is devoted to the problem of the selection of Nash equilibrium in non-cooperative differential games with an n-dimensional state variable. We consider the problem of the control harmful emissions. When solving the problem in the class of closed-loop strategies it turns out that Hamilton–Jacobi–Bellman equation may have multiple solutions. The application of an economic criterion and a classical method used in the theory of linear-quadratic regulators (LQR) to the selection of the admissible solutions from the set of obtained solutions was shown in the considered model.