At the end of the Kali age, when kings have become thieves, Vishnu is to be born as Kalki in the house of the brahmin Vishnuyasha at Shambhala; he rides the white horse Devadatta with a sword, clears the earth, and the minds of those who remain turn clear as crystal as the age of truth begins again.
Pan-India · the forest of the Pandavas' exileVaishnava
In the forest the sage Markandeya tells Yudhishthira how the age will end: kings who plunder, short lives, a world turned upside down. Then, sent by Time, a brahmin named Kalki will be born in the town of Sambhala. Weapons, armour and a horse come to him the moment he thinks of them. He becomes king of kings, clears the earth, performs a horse sacrifice and gives the earth to the brahmins, and goes away into a forest; and the age of truth, the Krita, begins again.
The Puranas give the household and the horse. Kalki appears in the house of Vishnuyasha, the chief brahmin of Shambhala; he mounts the swift horse Devadatta and rides the earth with his sword, killing the thieves who dress as kings. The survivors are purified, their minds pellucid as crystal in Wilson's Vishnu Purana, and are the seed of the new age, which begins when the sun, the moon and Jupiter stand together in Pushya. Devapi and Maru wait at Kalapa to restart the royal lines.
Sources: Mahabharata, Vana Parva sections 189 and 190, tr. K. M. Ganguli; Srimad Bhagavatam 12.2 and 1.3.25 (Bhaktivedanta Book Trust); Vishnu Purana, tr. H. H. Wilson (1840), Book 4 chapter 24