There, their and they're, are what is known as homonyms. They sound the same in English but have different meanings. They often cause confusion and are a commonly made grammar mistake.
How to use 'there'
There is used to refer to places: 'The seat over there.' And also to establish existence: 'There is a coffee shop on the corner.'
How to use 'their'
Their indicates possession. It is a possessive adjective like mine, yours, his and hers. For example: 'They've lost their way.' 'Their friends will arrive tomorrow.'
How to use 'they're'
They're is a contraction of 'they are.' You should only use it in places where you would substitute 'they are'. For example: 'Hurry up, they're about to leave.' or 'They're happy to have won the match.'
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