can somebody please explain what is the relation between those terms. I tried to find some info in wikipedia, but there is no word about relation between those technologies, thanks in advance for any good abstraction or link
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The only thing relating these three phrases is that they all have something to do with serial communication.
A "COM port" is a serial port specifically in Windows or DOS. They are the only operating systems which refer to serial ports as COM.
JTAG is a serial programming / data access protocol designed for interfacing with microcontrollers and similar devices.
A UART is a chip or sub-component of a microcontroller which provides the hardware to generate an asynchronous serial stream such as RS-232 or RS-485.
The "COM Port" and "UART" are probably the most closely linked in that a UART will be used in the computer to provide the hardware that Windows sees as a "COM Port".
The JTAG is completely unrelated.