Answer
(Fatwa: 1200/1200/M=1431)
Sohrab: It is the name of the son of Rustam wrestler. We could not get its meaning in the dictionary.
Rustam: A famous wrestler of Persia whose bravery tales are recorded in Shah Nama. Metaphorically, it means a brave person
Khusroo: Beautiful, lovely handsome
Jamshed: It was a famous king of Iran. It is said that he got a bowl made in which he used to see the whole world. (Firozul Lughat)
You can continue with this name and if you want to change it there is no problem.
Allah (Subhana Wa Ta’ala) knows Best
Darul Ifta,
Darul Uloom Deoband