Well, I'll give you my understanding of the difference between them, correct me if I'm wrong.
JQuery
The main goal of JQuery is to simplify and somewhat standardize the cross-browser JavaScript, making things easier to manipulate HTML elements and making HTTP requests
JQueryUI
It's a set of interface elements (buttons, datepickers, sliders, tabs, stuff) made using JQuery, that is, JQueryUI needs JQuery to work. (JQueryUI = JQuery User Interface)
These two above were meant to be an addition to your site (be it desktop or mobile), adding features like the ones I mentioned above.
JQuery Mobile
JQuery Mobile, unlike the other two above, is a complete framework for development. The intention is that it is the starting point of your site. It requires JQuery and uses JQuery and JQuery functionality to make it easier to build Mobile sites.
Another difference is that JQuery and JQuery UI are meant to be used as if they were an extra layer in your HTML and CSS. For example, you have input
to choose date, and turns it into a plugin with JQuery:
$('#meu_input').datepicker();
Now JQuery Mobile provides ways to choose where these differentiated elements will appear only with the use of HTML:
<ul data-role="listview" data-inset="true" data-filter="true">
<li><a href="#">Acura</a></li>
<li><a href="#">Audi</a></li>
<li><a href="#">BMW</a></li>
<li><a href="#">Cadillac</a></li>
<li><a href="#">Ferrari</a></li>
</ul>
The data-role
attribute tells JQuery mobile to make this list a friendly component for mobile platforms. data-inset
and data-filter
define attributes of this element, without using a single line of JavaScript.
I've used a little bit of self-knowledge and this to formulate this answer