Maharaj Yudhisthira, on hearing that Lord Krishna has returned to His abode, decides to quit this world and heads north into the Himalayers. Maharaj Yudhisthira is the eldest of the five Pandavas, and is a very rightous and famous king. He ruled over this planet after the Kuruksetra war. He is Lord Krishna's comtemporary. Hear more of this story in the Srimad-Bhagavatam.

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