YES! It’s called lucid dreaming!
Dr. David Kahn, researcher and instructor in the department of psychiatry at Harvard University Medical School, Boston elaborates:
“The only way to control dreams is through something called lucid dreaming. In a lucid dream, the dreamer is aware that he/she is dreaming. Once armed with this awareness, it might be possible to take control of the dream — for example, by changing a frightening dream into something more pleasant. Perhaps the knife in a pursuer’s hand becomes a large piece of cake.
“Lucid dreaming isn’t easy, but it seems anyone can accomplish it with effort. If you’d like to try, think about the situations common in your dreams but impossible or unlikely in real life, such as flying without a plane or being chased by killers. Every night before you go to sleep, remind yourself, ‘If I’m flying, I must be dreaming.’ It could take weeks or months, but eventually you may achieve a lucid dream. Some who have mastered lucid dreaming say it becomes easier once you get the hang of it.”