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You might find this funny, but! I've always thought that after physical death, a person goes wherever they want to go. That is, if they no longer want to live (in the sense that their soul no longer wants to) in a particular world, they go into oblivion (it somehow turned out to be similar to Woland's speech... :D). And if they want to be in peace, they go there, to a world where nothing and no one will disturb them. Well, and if they want to go to another world, then that's where they go. :) Maybe it's nonsense, but that's my opinion.