There are three difficulties in the game. Normal, Hard, and Z-Hard. By default, you'll be clearing a stage in Normal. After clearing it once, you'll unlock Hard mode for that stage. Clear it in Hard once again and you'll unlock Z-Hard. The Stamina cost increases per difficulty as well. Increasing the difficulty will significantly increase the strength of your opponents. However, EXP points and zeni are increased as well. There's no yet evidence whether the difficulty affects the drop rates as well.