What is the exact difference between diffusion, convection and advection?

Convection is the collective motion of particles in a fluid and actually encompasses both diffusion and advection.

• Advection is the motion of particles along the bulk flow
• Diffusion is the net movement of particles from high concentration to low concentration

We typically describe the above two using the partial differential equations: \begin{align} \frac{\partial\psi}{\partial t}+\nabla\cdot\left(\mathbf u \psi\right)&=0\tag{advection}\\ \frac{\partial\psi}{\partial t}&=\nabla\cdot\left(D\nabla\psi\right)\tag{diffusion} \end{align} where $\psi$ is the quantity in consideration, $\mathbf u$ is the fluid velocity and $D$ the diffusion coefficient (sometimes called the diffusivity).

There are some nuances to the combined effect for convection (e.g., forced, natural, gravitational mechanisms), but the general definition for it is the total motion.

convection = diffusion + advection.

That is, convection is the sum of fluid movement due to bulk transport of the media (like the water in a river flowing down a stream - advection) and the brownian/osmotic dispersion of a fluid constituent from high density to lower density regions (like a drop of ink slowly spreading out in a glass of water - diffusion).

Diffusion is when single particles move about and transports its momentum and energy to other particles. Convection is a large movement (in roughly the same direction) of a large mass of particles. For the difference see this.