The correct answer is a simple "because the standard (and the docs) say so". But I'm not gonna be cynical because it's obvious that's not what you are after.
In addition to the other answers here, I'll try to relate the infinities to saturating arithmetic.
Other answers have already stated that the reason the comparisons on NaNs result in true, so I'm not gonna beat a dead horse.
Let's say I have a saturating integer that represents grayscale colors. Why am I using saturating arithmetic? Because anything brighter than white is still white, and anything darker than black is still black (except orange). That means BLACK - x == BLACK and WHITE + x == WHITE. Makes sense?
Now, let's say we want to represent those grayscale colors with a (signed) 1s complement 8-bit integer where BLACK == -127 and WHITE == 127. Why 1s complement? Because it gives us a signed zero like IEEE 754 floating point. And, because we are using saturating arithmetic, -127 - x == -127 and 127 + x == 127.
How does this relate to floating point infinities? Replace the integer with floating point, BLACK with NEGATIVE_INFINITY, and WHITE with POSITIVE_INFINITY and what do you get? NEGATIVE_INFINITY - x == NEGATIVE_INFINITY and POSITIVE_INFINITY + x == POSITIVE_INFINITY.
Since you used POSITIVE_INFINITY, I'll use it also. First we need a class to represent our saturating integer-based color; let's call it SaturatedColor and assume it works like any other integer in Java. Now, let's take your code and replace double with our own SaturatedColor and Double.POSITIVE_INFINITY with SaturatedColor.WHITE:
SaturatedColor a = SaturatedColor.WHITE;
SaturatedColor b = SaturatedColor.WHITE;
As we established above, SaturatedColor.WHITE (just WHITE above) is 127, so let's do that here:
SaturatedColor a = 127;
SaturatedColor b = 127;
Now we take the System.out.println statements you used and replace a and b with their value (values?):
System.out.println(127 == 127);
System.out.println(127 < 127);
System.out.println(127 > 127);
It should be obvious what this will print.