Sea breeze: They are formed during the day time when land and sea both are heated equally by the sun, but land is heated up more quickly, thus air above land due to heat becomes lighter and rises up due to convection. Thus pressure decreases and cold and humid air above the sea blowing towards land.
Land breeze: They are formed during the night when sea water and land both lose heat. Land loses heat energy fast and cools more rapidly as compared to the sea. Sea water being at higher temperature, the air becomes lighter and rises up due to convection. So air from land starts blowing towards the sea and gives rise to a land breeze.
In both the processes, the transfer of heat takes place by actual movement of the particles of the medium.