Java program: 

import java.sql.*;

public class javamain {

	/**
	 * @param args
	 * @throws SQLException 
	 */
	public static void main(String[] args) throws SQLException {
	     // Create a variable for the connection string.
	     
		  String connectionUrl = "jdbc:sqlserver://localhost:1433;"  
	         "databaseName=Northwind;user=chris;password=mypassword";

	      // Declare the JDBC objects.
	      Connection con = null;
	      Statement stmt = null;
	      ResultSet rs = null;

	      try {
	         // Establish the connection.
	         Class.forName("com.microsoft.sqlserver.jdbc.SQLServerDriver");
	         con = DriverManager.getConnection(connectionUrl);

	         // Create and execute an SQL statement that returns some data.
	         String SQL = "SELECT TOP 10 * FROM Customers";
	         stmt = con.createStatement();
	         rs = stmt.executeQuery(SQL);

	         // Iterate through the data in the result set and display it.
	         while (rs.next()) {
	            System.out.println(rs.getString(1)   " "   rs.getString(2));
	         }
	         cobolclass cc = new cobolclass();
	    	 cc.cobolclass(con);
	      }

	      // Handle any errors that may have occurred.
	      catch (Exception e) {
	         e.printStackTrace();
	      }
          
	      finally {
	    	  
	    	  if (rs != null) try { rs.close(); } catch(Exception e) {}
	         if (stmt != null) try { stmt.close(); } catch(Exception e) {}
	         if (con != null) try { con.close(); } catch(Exception e) {}
	      }
	   }
}

cobol program:

  $set sql(dbman=jdbc) ilsmartlinkage
       program-id. cobolclass as "cobolclass".

       data division.
       working-storage section.
       exec sql include sqlca end-exec.
       01 contact-name   string.
       01 company-name string.
       linkage section.
       01 myconnection object.
       procedure division using by value  reference myconnection.
           exec sql whenever sqlerror
              perform 999-sql-error
           end-exec
           exec sql bind connection to :myconnection end-exec
           exec sql declare mycursor cursor for select ContactName, CompanyName from Customers end-exec
           exec sql open mycursor end-exec
           perform until exit
              exec sql fetch mycursor into :contact-name, :company-name end-exec
              if sqlcode = 100
                 display "no more"
                 exit perform
              else
                 display contact-name
                 display company-name
              end-if
           end-perform
           exec sql close mycursor end-exec
           exec sql unbind connection myconnection end-exec
           goback.

       999-sql-error.
       
           display "error = " sqlcode
           display sqlerrmc.
       end program cobolclass.

------------------------------------------------------------------
here,after change "value" to "reference", an error is happened "class cobolclass method cobolclass(ObjectRef)   type ObjectRef is not exsit "
now , how to deal with it

Java program: 

import java.sql.*;

public class javamain {

	/**
	 * @param args
	 * @throws SQLException 
	 */
	public static void main(String[] args) throws SQLException {
	     // Create a variable for the connection string.
	     
		  String connectionUrl = "jdbc:sqlserver://localhost:1433;"  
	         "databaseName=Northwind;user=chris;password=mypassword";

	      // Declare the JDBC objects.
	      Connection con = null;
	      Statement stmt = null;
	      ResultSet rs = null;

	      try {
	         // Establish the connection.
	         Class.forName("com.microsoft.sqlserver.jdbc.SQLServerDriver");
	         con = DriverManager.getConnection(connectionUrl);

	         // Create and execute an SQL statement that returns some data.
	         String SQL = "SELECT TOP 10 * FROM Customers";
	         stmt = con.createStatement();
	         rs = stmt.executeQuery(SQL);

	         // Iterate through the data in the result set and display it.
	         while (rs.next()) {
	            System.out.println(rs.getString(1)   " "   rs.getString(2));
	         }
	         cobolclass cc = new cobolclass();
	    	 cc.cobolclass(con);
	      }

	      // Handle any errors that may have occurred.
	      catch (Exception e) {
	         e.printStackTrace();
	      }
          
	      finally {
	    	  
	    	  if (rs != null) try { rs.close(); } catch(Exception e) {}
	         if (stmt != null) try { stmt.close(); } catch(Exception e) {}
	         if (con != null) try { con.close(); } catch(Exception e) {}
	      }
	   }
}

cobol program:

  $set sql(dbman=jdbc) ilsmartlinkage
       program-id. cobolclass as "cobolclass".

       data division.
       working-storage section.
       exec sql include sqlca end-exec.
       01 contact-name   string.
       01 company-name string.
       linkage section.
       01 myconnection object.
       procedure division using by value  reference myconnection.
           exec sql whenever sqlerror
              perform 999-sql-error
           end-exec
           exec sql bind connection to :myconnection end-exec
           exec sql declare mycursor cursor for select ContactName, CompanyName from Customers end-exec
           exec sql open mycursor end-exec
           perform until exit
              exec sql fetch mycursor into :contact-name, :company-name end-exec
              if sqlcode = 100
                 display "no more"
                 exit perform
              else
                 display contact-name
                 display company-name
              end-if
           end-perform
           exec sql close mycursor end-exec
           exec sql unbind connection myconnection end-exec
           goback.

       999-sql-error.
       
           display "error = " sqlcode
           display sqlerrmc.
       end program cobolclass.

------------------------------------------------------------------
here,after change "value" to "reference", an error is happened "class cobolclass method cobolclass(ObjectRef)   type ObjectRef is not exsit "
now , how to deal with it