This is a problem of kerning. You could borrow the subscriptcorrection code from the newtxmath package, which I believe is inspired by that from the mtpro2 package.
Edited: The following code makes the kerning automatic, so you don’t need to add negative spaces each time a “bad-looking” subscript occurs. Since the code is taken from newtxmath, the kerning instructions are designed for Times. You might need to make adjustments for Lucida.
\makeatletter
% Enable subscript correction
\AtBeginDocument{\mathcode`\_=\string"8000 \catcode`\_=12\relax}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Subscript correction code
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\begingroup
\catcode`\_=13
\gdef_{\futurelet\next\s@@b}
\endgroup
\def\s@@b{\ifcat\relax\noexpand\next\expandafter\sb\else
\expandafter\s@@b@\fi}
\def\s@@b@#1{\sb{\futurelet\next\sb@#1}}
\def\sb@{%
\ifx\next\space@\def\next@. {\futurelet\next\sb@}\else
\def\next@.{%
\ifx\next f\mkern-\tw@ mu\else
\ifx\next j\mkern-\tw@ mu\else
\ifx\next p\mkern-\@ne mu\else
%\ifx\next t\mkern\@ne mu\else
\ifx\next y\mkern-\@ne mu\else
\ifx\next A\mkern-\tw@ mu\else
\ifx\next B\mkern-\@ne mu\else
\ifx\next D\mkern-\@ne mu\else
\ifx\next H\mkern-\@ne mu\else
\ifx\next I\mkern-\@ne mu\else
\ifx\next K\mkern-\@ne mu\else
\ifx\next L\mkern-\@ne mu\else
\ifx\next M\mkern-\@ne mu\else
\ifx\next N\mkern-0.5mu\else
\ifx\next P\mkern-\@ne mu\else
\ifx\next X\mkern-\@ne mu\else
\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi\fi}%
\fi
\next@.}
\makeatother
You may adjust the \@ne, \tw@ and 0.5 to your use of font for LucidaBrightMathOT, which are completely subjective as they are problems of graphic design.
Added: If you wish to add new kerning instruction, for instance for $\sigma_i$, then insert \ifx\next i\mkern-<number>mu\else before the \ifx\next j\mkern-\tw@ mu\else line, and add one more \fi to that sequence of repeated \fi’s. Common choices for <number> are 1, 2 and 3.
Also, notice that newtxmath commented out the kerning instruction for $_t$: %\ifx\next t\mkern\@ne mu\else.