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It is possible, as we all know, to say those sentences below.

It was given to me by a kind woman.

I walked on the top of the building with my friend under a moon light.

One common point between those sentences is that the prepositional phrases are not connected by a conjunction.

It feels and sounds natural to me to hear and write those sentences, but when I apply my logic to it, it always feels that there should be a conjunction between those prepositional phrases as below.

It was given to me (and) by a kind woman. = It was given to me and given by a kind woman.

I walked on the top of the building (and) with my friend (and) under a moon light. = I walked on the top of the building and walked with my friend and walked under a moon light.

It seems that all those connected prepositional phrases are the product of coordinate ellipsis: https://en.wikipedia.org/wiki/Coordination_(linguistics)

So why isn't the conjunction used? Is certain grammar rule applied to it?

It is from ELL website, but as it was impossible to get an answer or even an comment, and I was kind of getting impatient/desperate, I am posting it here.

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Those particular examples are not considered ellipsis in English. The construction most probably originated in Proto-Indo-European; even if it was ellipsis then, which I doubt is the case, it is not and has not been considered ellipsis in historical times.

A verb can have compulsory arguments (complements) and non-compulsory adjuncts (satellites).

It was given to me by a kind woman.

The subject it is compulsory. The indirect object to me is not strictly compulsory, nor is by a kind woman. But it is completely normal to have more than one non-compulsory adjunct in a clause. You would only add a conjunction if for whatever reason two complements or adjuncts cannot be as such in the same clause. Normally, this is not the case and no conjunction is necessary.

Note also that a conjunction can exist on the word-group level as well, not only between clauses:

Caesar and Pompey want power.

The subject is Caesar and Pompey. It is plural, whence the plural verb want (instead of wants). Here it can be seen that there is no ellipsis, for it would have to be Caesar wants power and Pompey wants power if you were to split the clause. The word and does not entail ellipsis here; it can simply tie two words together. The sentence is therefore a single clause.

One situation in which a conjunction is necessary is when you would otherwise have two adverbs on -ly in a row:

He spoke to Pompey quickly angrily → he spoke to Pompey quickly and angrily.

Another case is when two adjuncts refer to two separate events or situations, as opposed to when two adjuncts both describe a different aspect of the same situation:

Caesar defeated Pompey at Massilia in Calabria.

Massilia is in France and Tarentum/Calabria is in southern Italy: Caesar defeated Pompey's alliance in both places. It should therefore be and, which is elliptical here:

Caesar defeated Pompey at Massilia and [he defeated him] in Calabria.

There are probably various other occasions where you need an (elliptical) conjunction as well.