I have the Nikon L830 advanced point and shoot camera. It's not a DSLR. Can I put a different lens with a lens adapter on my camera?
I want to do that to have more control on the focus and the depth of field. I do video.
No. The L830 does not have a filter thread, and no accessory tube with which to attach a filter to the front of the lens. Any fixed-lens P&S cannot swap lenses, but can only really take a filter in front of the lens. You can add filters that can add macro close-up capability, or act as teleconverters to increase or decrease the focal length of the lens, but nearly all of these add-on elements will decrease image quality--typically making the lens softer. Lens elements work best when they're designed to work together.
And none of these will give you "more control on the focus and the depth of field", since the main image-taking lens does not change. Depth of field control when it comes to gear, is based on the maximum aperture of the lens, and the sensor size in the camera, and these things won't change. And focus control, again, comes with the lens--and even with dSLR and mirrorless lenses, you may not have as much control as you'd like for video, which is why so many "HDSLR" shooters adapt manual-focus lenses for their cameras. There's also the fact that quite a few still-image lenses exhibit focus "breathing" (i.e., a change in focal length as the focus point changes) which make them less suitable for video.
To change lenses, you need a camera with an interchangeable lens mount, not a fixed-lens camera. But. These types of cameras are radically more expensive than a fixed-lens P&S camera like your Nikon Coolpix, because you not only have to buy the camera, but also the lenses, and a single lens can easily oustrip the cost of the camera. However, since most of these cameras also have larger sensors than the 1/2.3" (i.e., 5x crop) one in your L830, you will gain more DoF control, and some of the lenses will let you have more fine-grained manual control over focus.
If your camera has filter threads on the lens, you may be able to attach "frontside" wide angle or telephoto adapter — a secondary lens. But these generally give low quality results, and just can't give the same flexibility as actually changing the lens. If you want that flexibility, you will need a DSLR or mirrorless interchangeable lens camera.
Your particular camera does not appear to have such a thread, which is typical for cameras in this general class these days. I don't mean this in a pejorative way, but while that's a fine camera for what it is, I would hardly qualify it as "advanced".
But it's really not much of a loss. These add-on lenses are typically a single piece of glass, and not designed specifically to match the design of the built-in lens. They usually are made cheaply, with low-cost materials (cheap glass, single or no coating.) This means that they introduce color artifacts, distortion, loss of sharpness, and lens flare. In a pinch, they might be better than nothing — but, really... not by much.