Differential pricing strategy is one of the typical pricing strategies applied in practice, which is named for its potential price difference. Among them, second-degree price discrimination is widely used in real life as the pricing strategy most in line with the actual situation of the market. Under the condition of a typical non-linear supply function, this paper used the cost thought to realize the application of differential pricing method to the problem of second-degree price discrimination. The results show that the more segments of supply interval, the greater the cost increment of monopoly firms in the case of equal interval. At the same time, the relationship between the number of segments and the multiple of the maximum cost increase made by the market supervision department is obtained; in the state of complete competition, the static game analysis is made for the simultaneous decision-making situation of two oligarchic enterprises. When the market supervision department stipulates that the total cost of the two competitors in the market increases by at least times the maximum cost increment, the two firms can implement n segment pricing discrimination separately. And when the market share of the two firms is stable, the segment interval of differential pricing can be obtained.