The series is poised at 1-1 with two more matches scheduled in Ranchi and Dharamsala.
"There's a lot of belief. There's a lot of people who wrote us off, before we even got on a plane and landed in Dubai, let alone coming over here," Lyon said.
The off-spinner was quoted as saying on Sydney Morning Herald, "We're one win away from retaining the trophy and that's what we are here to do.
"We proved that in the first Test, we came close in the second Test and even that hurt - that's probably the best thing about that game.
"I think they're feeling the pressure a little bit to be honest. And it's good."
The Australians today left Bengaluru for Ranchi. Lyon, who left India flummoxed with his off spinners in the first innings of the second Test in Bengaluru, briefly spoke about the importance of reverse swing.
Lyon suffered a cracked-skin on his right index finger during the second Test but he's confident that he will be in the playing XI for the third match starting here on from Thursday.
He's confident his finger ailment (split callus) will be healed on time for the game.
"I have bowled a lot of balls over the summer and it usually happens once or twice a year. It just split. It was pretty painful there for a bit," Lyon said.
The ailment restricted him to fitness work and other
drills and Lyon said he still has a bit of pain while trying out variations.
"I'm able to bowl cross-seam and stuff, so I can still try to spin it. But for variations and trying to get drift and drop and stuff -- to go at the back of the ball -- the way I bowl, it (the finger injury) does impede it a little bit."
"The way he constructs an over is one big thing. I've been studying the way he bowls to left and right handers in these conditions. The way he uses the crease, the different shapes he puts on the ball. We're different bowlers, you can tell that when he comes out to Australia."
Another significant difference to Lyon's bowling in the series is the amount of time he has spent coming over the wicket to India's preponderance of right-handed batters. In Australia where bounce represents more of a weapon than spin, Lyon often operates around the wicket to use the increased angle he creates to bring the bat-pad catchers into play.
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