Sun's JVMs are written in C/C++ and a little assembly.
The Java compiler that ships with the JDK is written in ... Java! This has been the case since the very first release.
Writing a compiler for a language "A" in the language itself is a very common procedure known as "bootstrapping." First, you have to write a compiler "C1" for at least a subset of language "A" in some other language "B". Now you have to write, in this subset, a compiler "C2" for a (generally larger) subset. Compile C2 using C1, and now you've got a compiler for language C2 which is, itself, written in C2. You can now compile C2 with itself! More interesting, of course, is to write a compiler for an even larger subset, C3, and compile it with the C2 compiler. Eventually, in a small number of passes, you get a complete compiler for "A" written in "A". Cool!
Remember, a compiler is itself a program. it parses a text file, enforces some grammer, and converts it to some other kind of file. You can write a compiler FOR any language IN any language. The trick here is how you get started.
A simple, contrived, (and probably not very good) example would be a made-up language that does arithmetic, call the language EasyMath.
EasyMath is a language that supports addition, subtraction and multiplication.
on your first pass, you write a complier using Java, for example. All this compiler handles is addition and inverting a bit pattern. you now have a compiler that can handle any EasyMath program, as long as it ONLY has addition or bit inversion in it.
ok, so now what? well, subtraction can be defined in terms of addition. you negate the number and add. How do you negate a number? invert the bits and add 1. AHA!!! my first compiler can handle that. Multiplication can also be defined in terms of addition. my first compiler can handle that.
so, now i write a compiler, in EasyMath, that converts multiplication and subtraction into addition problems. i run THAT through my first compiler, and create a NEW compiler.
i now have a compiler, written in EasyMath, that can compile any EasyMath program.
does that make more sense?
There are only two hard things in computer science: cache invalidation, naming things, and off-by-one errors