*spoiler* what's up with jesse?

towards the end of the movie what is going on with Jesse? he tells the magician that he does know of that hotel and he does remember it......and then they do flashbacks where he is with the head of security or whatever and that was like in the 1920's so is he a ghost or what? i didn't get that part at all....maybe i wasn't paying attention though. not sure. any opinions would be welcomed.