In the Sandman series, Lucifer had ruled as Lord of Hell for 10 billion years after rebelling three seconds after Creation. Over that time, he had manipulated the various demons of Hell against each other, provided a place for dead mortals to be tormented, and led the war against Heaven.
However, at some point during his rule, he had become bored with his existence. He became tired of the various stereotypes and prejudices that mortals held of the Devil, such as the idea that he purchased and traded for souls, which were largely untrue, and that he forced mortals to commit evil acts. He had become tired of his reign over Hell, and felt it an unfair punishment that he should have to rule there forever simply because he once rebelled. In the Sandman story "Season of Mists", Lucifer expels all demons and damned souls from Hell before locking Hell's gates and handing over the key to Hell to Dream of the Endless, the title character of the Sandman series. Eventually, control of Hell was handed over to two angels, Duma (the angel of silence) and Remiel ("set over those who rise"), while Lucifer simply retired to Earth, initially to Perth, Western Australia[5] and later to Los Angeles, California.[6]
By the end of the series, however, it is revealed that Hell was not a punishment, but a gift: being the furthest possible place from the throne of light, Lucifer could be as separated from God as possible. Lucifer never created the physical features of Hell - Hell created itself around him.