Some years ago I tried this and I think got it to work - but now trying on a new machine under fedora 21 (lyx-2.1.3)
I found some old discussion and tried setting: \usepackage{unicode-math} \setmathfont{xits-math.otf} (the older discussion said \setmatfont{XITS Math}, but that just gives font not found) Then running lualatex. When I put a \Delta_f in my document, then I get no error or warning - but when the pdf is displayed, the '\Delta' is invisible. Without the \setmatfont{xits-math.otf} the \Delta is displayed. Any ideas? -- Those who fail to understand recursion are doomed to repeat it