Android - set file name while saving image using Bitmap.compress

I'm saving an image onto sd card using the following code:

ContentValues values = new ContentValues();   
values.put(MediaColumns.TITLE, mFileName);
values.put(MediaColumns.DATE_ADDED, System.currentTimeMillis()); 
values.put(MediaColumns.MIME_TYPE, "image/jpeg");

resultImageUri = ApplyEffects.this.getContentResolver().insert(Images.Media.EXTERNAL_CONTENT_UR开发者_运维百科I, values);

try{

 OutputStream out = ApplyEffects.this.getContentResolver().openOutputStream(resultImageUri);
 mResultBitmaps[positionSelected].compress(Bitmap.CompressFormat.JPEG, 70, out);  
 out.flush();
 out.close();

} catch(FileNotFoundException e){
 e.printStackTrace();
} catch(Exception e){
 e.printStackTrace();
}

But the image file name is always the System.currentTimeMills. How do I specify a name for it?

Here's my complete working code based on dipu's suggestion:

private Uri saveToFileAndUri() throws Exception{
        long currentTime = System.currentTimeMillis();
        String fileName = "MY_APP_" + currentTime+".jpg";
        File extBaseDir = Environment.getExternalStorageDirectory();
        File file = new File(extBaseDir.getAbsoluteFile()+"/MY_DIRECTORY");
        if(!file.exists()){
            if(!file.mkdirs()){
                throw new Exception("Could not create directories, "+file.getAbsolutePath());
            }
        }
        String filePath = file.getAbsolutePath()+"/"+fileName;
        FileOutputStream out = new FileOutputStream(filePath);

        bitmap.compress(Bitmap.CompressFormat.JPEG, JPEG_QUALITY, out);     //control the jpeg quality
        out.flush();
        out.close();

        long size = new File(filePath).length();

        ContentValues values = new ContentValues(6);
        values.put(Images.Media.TITLE, fileName);

        // That filename is what will be handed to Gmail when a user shares a
        // photo. Gmail gets the name of the picture attachment from the
        // "DISPLAY_NAME" field.
        values.put(Images.Media.DISPLAY_NAME, fileName);
        values.put(Images.Media.DATE_ADDED, currentTime);
        values.put(Images.Media.MIME_TYPE, "image/jpeg");
        values.put(Images.Media.ORIENTATION, 0);
        values.put(Images.Media.DATA, filePath);
        values.put(Images.Media.SIZE, size);

        return ThisActivity.this.getContentResolver().insert(Images.Media.EXTERNAL_CONTENT_URI, values);

    }

Try the following approach.

String fileName = "my_file.jpg";
File extBaseDir = Environment.getExternalStorageDirectory();
File file = new File(extBaseDir.getAbsoluteFile() + "APP_NAME");
if(!file.exists()){
 if(!file.mkdirs()){
   throw new Exception("Could not create directories, "+file.getAbsolutePath());
  }
}

String filePath = file.getAbsolutePath()+"/"+fileName;
FileOutputStream out = new FileOutputStream(filePath);

//now write your bytes into this outputstream.