If both software run on the same system:
You will be using JNI, and transfering data from buffers to other buffers (Cobol side) converting to the correct bitnes and data format, and later converting the results back to Java data format. It's quite a tedious work.
We have a proprietary appserver/middleware solution that does this, but this is about as much as I am allowed to tell about it...
If the apps run on different systems:
Connect through SOA of some sort, it's slower then through JNI, but it's more universal, and the data conversion is done when switching to the SOA format (usually XML sometimes json).