Problems with UART baud rate configuration

In our application we change the baud rate from 115 kbps to 921 kbps at the beginning. If the device is switched off for a longer time, the module obviously forgets this baud rate and sometimes reports 115 kb again. This is a problem because our software expects to receive 921 kbps at the beginning after powering up … Is this a known problem or what are we doing wrong? Karsten