For the Orange Cognac Sauce: In a medium saucepan over high heat combine the orange juice, sugar, salt, and pepper. Bring to a boil then reduce heat until nearly evaporated. Add the stock, heavy cream, and cognac. Boil for minute, remove from the heat, and set aside.
For the Lobster Vol au Vent: Preheat a saucepan over high heat until very hot. Add the olive oil, then the lobster meat, mushrooms, shallots, tarragon, and white pepper, to taste, while stirring to combine ingredients. Add 1/2 cup of the Orange Cognac Sauce and bring to a boil for 1 minute. Reduce to a simmer.
Spoon reduced mixture into prepared shells, drizzle with remaining orange cognac sauce, and garnish with parsley leaves.