Most reinforcement learning algorithms are inefficient for learning multiple tasks in complex robotic systems, where different tasks share a set of actions. In such environments a compound policy may be learnt with shared neural network parameters, which performs multiple tasks concurrently. However such compound policy may get biased towards a task or the gradients from different tasks negate each other, making the learning unstable and sometimes less data efficient. In this paper, we propose a new approach for simultaneous training of multiple tasks sharing a set of common actions in continuous action spaces, which we call as DiGrad (Differential Policy Gradient). The proposed framework is based on differential policy gradients and can accommodate multi-task learning in a single actor-critic network. We also propose a simple heuristic in the differential policy gradient update to further improve the learning. The proposed architecture was tested on 8 link planar manipulator and 27 degrees of freedom(DoF) Humanoid for learning multi-goal reachability tasks for 3 and 2 end effectors respectively. We show that our approach supports efficient multi-task learning in complex robotic systems, outperforming related methods in continuous action spaces.