Generally, your carrier (the one that provides your mobile service) supplies the upgrades. They usually have to tailor new Android versions to be compatible with their services and devices.
Go to 'Settings' -> About Device -> Software Updates. Once there, tap on 'Update Now'. If there is an update waiting, it will install. If not, it will tell you that you have the latest version. If so, you'll need to contact your carrier.
If your phone is rooted, then it gets more complicated... You'll have to find and download the correct version of Lollipop on your own.