Using Java Debugger "jdb" one gets information about
which thread currently executing threads

but if I want check/findout within my program itself 
How do I do that ?

You can check by putting following code in your program

Thread t = Thread.currentThread();
System.out.println("Current Thread: "+t);

Check executing/running current thread by

currentThread() [Method]

public static Thread currentThread() 

Find the currently executing thread. 

Returns: 

the currently executing thread

by using currentThread() Method ,we can find which thread 
is runing

We can check the current Thread name as 
Thread t= new Thread.currentThread();
System.out.println(t.getName());