  In this paper, a survey of the recent results about the classification of the
connected holonomy groups of the Lorentzian manifolds is given. A
simplification of the construction of the Lorentzian metrics with all possible
connected holonomy groups is obtained. As the applications, the Einstein
equation, Lorentzian manifolds with parallel and recurrent spinor fields,
conformally flat Walker metrics and the classification of 2-symmetric
Lorentzian manifolds are considered.
