If the DTE and DCE are physically connected (i.e. a serial cable between them) and those endpoints support changing speeds then the speeds can definitely be changed mid-stream. The example would be two terminals on either side of a null modem. If the terminals both reconfigured from, say, 9600 baud to 19.2k the session would continue (..possibly with some transitory loss if the switchover wasn't perfectly simultaneous).
It gets more complicated if there are modems involved. With older, lower-speeds it was possible to change baud rates mid-session if the modems were hardware switchable. As an example, two terminals connected to 300/1200 (or 110/300) baud modems where rate was selected from the front panel could change speeds mid-session if the terminals were software switched or automatically detecting.
For higher speed links (9600 baud+) things got much more complicated, as the modems were constantly renegotiating based on line conditions - not to mention often switching rates depending on who was transmitting (many modems were 9600+ in one direction and 300-450 in the other). These modems tended to lock the speeds toward their DTE's, though - usually at a much higher speed than the modulating side could theoretically support. Changing terminal rates in that situation was a non-starter.