If you only need a Database for use inside your app you can use
SQLite.
If you need to share data from each app with a central database then you should setup a
jRDC2 Server and connect each Client with it. You need to have a VPS or similar which is able to run java apps. jRDC2 is the recommended method.
Alternatively you can use PHP for example if you are more familar with it.
Example.
Useful reading for beginners:
@klaus Booklets.
PS: Thank you for choosing a suitable Threadtitle ;-)