Please follow the steps:

   1. Click circular initials/image shown on top rightmost
   2. Click my account
   3. Click the "Settings" wheel shown on top right
   4. Click "Mail" under "Your app settings" (Bottom)
   5. Click "General"
   6. Click "My account"
   7. Change Display Name as you desire
   8. Click Save

OR
You can use the below link in a new tab to land directly to the "My account" settings page
https://outlook.office.com/owa/?path=/options/myaccount