Can I put different lenses with a lens adapter on a point and shoot?

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.