According to Billboard, the EP is titled Prospekt's March and Jay-Z will appear on a song called “Lost”.  Prospekt's March is due in stores in November.

This marks the second time that Jay-Z and Coldplay have collaborated. 

Coldplay appeared on Jay-Z's album Kingdom Come on the song “Beach Chair".

In related news, Jay-Z is currently gearing up to release his eleventh solo album titled Blueprint 3 in December.  Production on the project will be handled mostly by Kanye West.