Your obviously not big on searching forums...
A solution to your region lock can be found on this site. Try using the search engine (Top Right).
Since my account is new because of that limited, i can not provide links. PM me if you want them.
Answer to Persona 4 Arena on PS3 PAL has been found on ps3hax.
If you are on PAL the only solution to play Persona 4 Arena is to modify the PARA,SFO file. Either do it yourself or be lazy and follow this:
1: Get the modified PARA,SFO file: -No permission to provide the link-
*Google sakibsultan_308 PARA,SFO in google to find it.*
2: On your PS3 the file is located here: /dev_hdd0/GAMES/BLUS30985/PS3_GAME/
3: Use an FTP (I use FlashFXP) to delete the old PARA,SFO and replace it with the new one.
And you're ready to rock.