A service must be well-behaved, that is, it must run to completion, return its results to the client, and exit so that control returns to the server.
Therefore, the COBOL application must handle all errors by returning an error indication in the output parameter, never by stopping. You should make sure that all error conditions are detected, through the use of the FILE STATUS clause, declarative procedures, etc., so that the program does not crash or otherwise abort.
Similarly, the COBOL application should not contain a STOP RUN statement. When encountered during service execution, the STOP RUN statement is effectively a quit statement, making the program exit at once.