Tiered HTML lists using Views and Taxonomy?
I'm going to assume your view is a taxonomy term view. 

First thing you would want to do is add a relationship to your view. The relationship you want to add is the Taxonomy: Parent term relationship and set required this relationship.

Once you're done adding the relationship add another Taxonomy: Term field to your view but this time make sure to select the "Parent" relationship for that field.

Also select "Exclude from display" for this field if not this is going to show up twice.

Once you've done that you will need to group your fields by the Parent Term. This can be accomplish by going to the settings option for the format and selecting the Parent term you just added.

You will now get the display you want.

Hope this helps.