This manuscript presents an algorithm to classify continuously electroencephalographic (EEG) signals based on deep differential neural networks (DDNNs). The learning laws are obtained by the second stability method of Lyapunov that requires the solution of a set of matrix differential equations. The robustness of this technique allows the analysis and classification of bio-signals like EEG signals. The EEG signals have complex dynamics and they are strongly affected by noises in the measurements and a high degree of variability between different studies in patients. The main strength of DDNNs is their feedback property, which allows them to work with the time-dependent variation of the EEG signals. The DDNNs are tested in a database constituted of EEG signals acquired from a study made in ten volunteers. The study consisted of the acquisition of EEG measurements of the volunteers recognizing geometrical figures appearing in a graphic user interface. The DDNN obtained better performance than a single layer differential neural network and a convolutional neural network.