On the surface, connecting Oedipus to my big question is a stretch, Oedipus does not go on any adventure during the course of the play, much less return from one. In fact, the whole story is set on the palace steps. But the great thing about literature and life is that things do not always have to be taken literally; connections can be contrived between almost any two experiences.
So yes, the whole play takes place in front of the palace, but that does not mean there is no journey. Oedipus journeys to find the murderer of Laos, and untimely to find himself. It's a quest for knowledge, and Oedipus "will not rest, the truth must be made known"(line 1011). Like most adventures a change happens, he discovers his identity, his true parents, his fate fulfilled. Through the journey to find truth, Oedipus separates himself from the life he lead before. Instead of trying to return to the life he held (which would be futile, seeing as his wife/mother is dead, and the information he learned is not just something you can ignore), he owns the shift in his identity, blinding himself and leaving the kingdom. Oedipus never returns, never reconciles his new identity with the life he lead before. He makes the choice to move on, keep changing. The moment Oedipus accepts his fate, is also the moment he decides to run away from the life he previously held. I can understand that a return is rendered impossible because of the pain and because Jocasta's decision to take her life. But I think this lack of reconciliation at the end is why I do not find catharsis in Oedipus. Leaving on a new adventure is always easier than coping with returning from one, dealing with fitting back into something after a change. I'm afraid I have always had the inclination to run away from missing things, throwing myself into life and trying not to look back, always focused on the future, disconnecting myself from my past. Always tried to look at each end only as a new life to jump into, regardless of the connections severed with the leap. I think I am critical of this trait in Oedipus because I'm critical of this trait in myself, as constantly running from the past in the pursuit of the future sounds like a cruel way to live.
Sometimes you have to return, and Oedipus does not acknowledge that truth.

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