I have a java application that uses some third party API. The third party jar files change fairly frequently because of all kinds of patches, but the API itself does not cha
Generally no, if the third party is well designed.
However, in the (horrible) case where the API change a method signature, or remove a method / class, then you will need a modification and a recompilation of your own code.
For example, if you have doSomething(String value); that became doSomething(int value); (or String doSomething() becoming int doSomething()) then the code of your application that calls doSomething(...) will not work anymore. So a modification of your code is required (and then a recompilation).
However, you have to know that this case is extremely rare (except if you are using a pre-alpha dependency for example). Generally, to ensure backwards compatibility, APIs never remove classes or methods. The @Deprecated annotation is used instead, to force developer to use another method / class...