Java provides us with tools to create our own exceptions, which are basically derived classes of Exception. For example, MyException in the code below extends the Exception class. We pass the string to the constructor of the superclass Exception, which is obtained by using the "getMessage()" function on the created object.

In Java, exceptions are used to handle errors and unexpected events during program execution. Java provides a set of built-in exceptions, but sometimes, developers need to create their own custom exceptions to handle specific scenarios.

A user-defined custom exception is a Java class that extends the built-in Exception or RuntimeException class. It is used to represent an application-specific error that cannot be handled by the built-in exceptions.

To create a custom exception in Java, developers need to define a class that extends either the Exception or RuntimeException class. For example, let's say you are building a banking application and need to handle cases where the user's account balance is insufficient for a particular transaction. You can create a custom exception called "InsufficientBalanceException" as follows: 

public class InsufficientBalanceException extends Exception {
    public InsufficientBalanceException(String message) {
        super(message);
    }
}

Here, the custom exception extends the Exception class and defines a constructor that takes a string message as an argument. When this exception is thrown, the message will be displayed to the user to provide information about the error.

Custom exceptions can help developers to write more robust code by providing a way to handle application-specific errors in a more organized and efficient way.