Yes, but since a servlet is an in-and-out type of environment (rather than running the way an executable program does), the thread would either have to run quickly enough to make the need for a thread questionable or the thread would have to be stored in a non-volatile part of the class. For a long-running process, it's often better to run the process as a separate server task and have the servlet queue requests / get responses from there (JMS is a good way to do this). That way you don't bog down the servlet mechanism.
An IDE is no substitute for an Intelligent Developer.
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Pounding at a thick stone wall won't move it, sometimes, you need to step back to see the way around.