In this paper, an N-player advertising differential game model is constructed, and the explicit closedloop Nash Equilibrium is obtained by solving HJB equation. Then the effects of some relevant factors are analyzed for the optimal strategies and value functions. Results show that, beside the common parameters such as the marginal revenue of advertising and cost function, other elements, e.g., the preference to future potential development, the time horizon, and the substitution of goods all have great influence on the optimal advertising.