Is there any way to let domain users be able to change their password through mobile devices. a third party application or anything to do the job

Please have a look on below given links, which might be helps you:

Changing your Exchange account Password using the iPhone: https://info.mail.ufl.edu/mobile-devices/changing-your-exchange-account-password-using-the-iphone/

Change Exchange email password on Android: http://helpdesk.ufl.edu/self-help/updating-passwords-in-mobile-devices/change-exchange-email-password-on-android-version-4-1-2-phone/

MS Exchange ActiveSync and Mobile device management : http://i7nw.com/activesync-and-mobile-device-management/

what i want is to initiate the change password action from the mobile. like when the password expires and user must change password at next log in