This is typically done through the use of Stateful Session Beans.
From EJB 2.0 Specification
A stateful Session Bean instance may, but is not required to, commit a started transaction before a business method returns. If a transaction has not been completed by the end of a business method, the Container retains the association between the transaction and the instance across multiple client calls until the instance eventually completes the transaction.
In most cases it is undesirable to have transactions span multiple client calls as it tends to negatively affect scalibility.