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You will need a third party lock screen app that might allow you to do this as Lollipop doesn't have this feature.
I stand corrected, I only locked under "Lock screen" not Home & lock screen
Settings > personalization > wallpaper > Home & lock screen
The lockscreen and home screen must have the same live wallpaper, if you switch the home wallpaper the lock screen will change the wallpaper to a generic Sony wallpaper.
Have you even tested e4? No such option available..