Let $M$ be an Riemannian Manifold and $\bigtriangledown$ be the Riemannian Connection on it. Let we think about the domain and range of $\bigtriangledown:\Gamma(M)\times\Gamma(M)\rightarrow\Gamma(M)$ and $\Gamma(M)$ contains all smooth vector fields on $M$.
However when we read an Riemannian Geometry book, there will be actually other three different domains of $\bigtriangledown$.
(1) When we talk about the parallel transport, we use the notion $\bigtriangledown_{\dot{\gamma}}X$.
(2) When we talk about the geodesic, we use the notion $\bigtriangledown_{\dot{\gamma}}{\dot{\gamma}}$.
(3) Let $i:N\rightarrow{M}$ be the immersion and $X,Y$ be two smooth vector fields on $N$. Then we note it as $\bigtriangledown_{i_*(X)}{i_*(Y)}$.
So the thing is that I am confused of it and I find no book treating this thing strictly. Does anyone can give an exact answer about how these things happen by step and step? Thanks.
The first two cases you are referring to are included in the general definition you gave: the tangent vectors to a curve $\gamma$ in $M$ defined a vector field - in other words $\dot\gamma\in\Gamma(M)$. The last one is a little bit more delicate as in general the push forward $f_* X$ of a vector field $X$ by a map $f$ is not a vector field. For the special case that you are considering, an immersion, $i_*X$ can be seen as a section of $i_*TM$. Informally speaking, you can see it as a vector field, but defined not on the whole of $M$ but only on the submanifold $N$. Maybe someone else can give a more rigorous answer to this point.