Not sure what product you are using, but I can tell you that with the J2EE Reference Implementation the answer is yes. You can either set it up to be container managed or bean managed.
With the container managed you set the option in the deployment tool. You can then manage within your session bean method the result of other method transaction results.
With bean managed you get an instance of the UserTransaction from the SessionContext and you start and end a transaction.
Hope this helps.