If a covariant derivative is given by: $$D_\nu A^\mu=\partial_\nu A^\mu +\Gamma^\mu_{\nu \lambda} A^{\lambda}$$ Then how does $\frac{DA^\mu}{d\tau}$ make any sense? Since there are no 'differentials' in $D_\nu$ for $d\tau$ to act on.
Clarification
The parameter $\tau$ can be seen as an arbitrary parameter, although $\tau$ is often used for proper time (interpreting as either arbitrary or proper time does not change the question). I came across the expression $\frac{D A^\mu}{d\tau}$ when looking at parallel transports, but it is also used in the geodesic equation in general relativity and probably a lot of other places to.
Answer
This is a covariant derivative along a world line (if you would not consider a world line the proper time $\tau$ would not make any sense).
So you consider a curve in space time parametrized in dependence of the proper time $x^\mu(\tau)$. Then you have:
$$\frac{DA^\mu}{d\tau} = \frac{\partial A^{\mu}\big(x(\tau)\big)}{\partial \tau} + \Gamma^\mu_{\nu\lambda} A^\nu \dot x^\lambda = \dot x^\lambda A^\mu_{,\lambda} + \Gamma^{\mu}_{\nu\lambda} A^\nu \dot x^\lambda = \dot x^\lambda A^\mu_{;\lambda}.$$
For more details see Wikipedia on Covariant Derivative Along a Curve and on the Levi-Civita connection along the curve. (These articles use an index free notation, not the Ricci calculus usually employed by physicists).
When you are doing things rigorously (i.e. if you are doing mathematics) the connection along a curve only requires the values a vector field along the curve and then therefore is more general than the expression $\dot x^\nu A^\mu_{;\nu}$ (which requires the vector field on an open set which contains the curve).
On a side note, this notion also occurs in the well known gedesic equation: $$ \frac{D \dot x^\mu}{D\tau} = 0 = \ddot x^\mu + \Gamma^\mu_{\lambda\nu} \dot x^\lambda \dot x^\nu.$$ (With the difference, that $\dot x^\mu$ is a function of $\tau$ not of $x^\mu(\tau)$).
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