I have just bought Samsung Galaxy Grand phone featuring android jelly bean. I am trying to download some app using my mobile data. But, it doesn't download application, while I am not connected to wi-fi network. It downloads apps while I am connected to wi-fi without any issue.
Can anybody suggest me, what setting is restricting me to download without wi-fi network?
There are two things to check.
Go into Settings from the Play Store app's menu. At the time the question was written, the third one down is Update over Wi-Fi only. Turn this off if you want to download apps over a cellular internet connection.
In more recent Play Store versions, it's at the top of the list: it says Auto-update apps, and the default is Auto-update apps over Wi-Fi only. You need to change this to Auto-update apps at any time. Data charges may apply.
Apps larger than a certain size (I think 50 MB) only download over Wi-Fi regardless of this setting. (The Play Store app will prompt you if you try to download a large app and you're not on Wi-Fi.) This applies to lots of games but not many applications.
The reasoning behind all of these restrictions is because many users pay per kb of data, or they pay extra if they go over a limit. The default behaviour is safe and avoids surprising users with large bills.
Finally, I got it resolved. The issue was with APN settings provided by my service provider. Fixing that fixed downloading issue.