We can suppose that the REXX routine is calling the COBOL program and wants to get a result from it.
In that case, in the COBOL program, you can issue a CALL 'ISPLINK' to execute an ISPF VDEFINE and then a VPUT command.
The REXX routine can then retrieve the value using VGET.
Unfortunately I don't have a running example at hand, so you'll have to search the documentation.