If you asking about your in-game player name !? On PS4 you had to buy a new console, it doesnt work there. On X-Box you can pay for to change your name in X-Box live.
For xbox you are allowed 1free gamer tag change after that they charge you to do it.
for PS I’ve been seeing rumors about them getting to where you could change your PSN id possibly this year but haven’t seen anything solid about it. I do hope they finally would allow for it through .
You didn’t specify which console.
Xbox in account settings
Ps no idea
Pc steam name?