what COBOL platform  are you using? is it an Object Oriented COBOL? is it multi user? is it a distributed system? what is the back end data storage system?

there are different COBOL systems which are not generally compatible with each other, but if your system  is a distributed one, and their components are connected to each other by CORBA, then best strategy is to replace them component by component with java  equals.
this way you will have a COBOL program rewritten in java and you probably hardly use any benefits of java platform.

another strategy may be to re-architect and design the system from scratch and install it in parallel and let users migrate from old system to the new one, this way you will gain more advantage out of Java platform.

there are lots of tools which automatically convert COBOL programs to Java. just search on google for your own version of COBOL.