All three are very similar. "Review" is the most formal of the three and perhaps the strongest. "Brush up on" and "go over" refer to performing a light review of some kind of content. There's a slight connotation to "brush up on" where it may mean that you are more unfamiliar with the content than would be desired, as in "I need to brush up on my Chinese (language skills)". So desperado is correct in saying that "brush up on" can mean "to improve". Also, note that "brush up on" (review or improve) is different from "brush upon" (to touch lightly or to mention briefly).