Each character is capable of evolving their personas into a stronger form. In order to do this, you must max out their respective social links. Yu's evolved persona is first unlocked by reaching the True Ending, but must be fused in New Game+ to be fully playable.

Persona	How to unlock
Amaterasu	Max out Yukiko's social link.
Izanagi-no-Okami	Reach the True Ending.
Kamui	Max out Teddie's social link.
Kanzeon	Max out Rise's social link.
Rokuten Maou	Max out Kanji's social link.
Susano-o	Max out Yosuke's social link.
Suzuka Gongen	Max out Chie's social link.
Yamato Takeru	Max out Naoto's social link.