OK, so I'm now imagining the winning lottery ticket in my wallet. Let me check my wallet. [Pause.] Damn. Not even the slightest semblance of a winner. In fact, not even a lottery ticket.

We do speak of a thing's "existing in one's imagination". But this doesn't mean that the thing in question does actually reside in some very wispy way in your mind. If anything does exist in your mind, it's the thought of the thing's existing, or perhaps an image of the thing. But not the thing itself.

We are very close to a Grand Philosophical Headache: trying to understand what makes that thought or that image about the thing it's about. This is especially puzzling when the thing it's about doesn't actually exist at all.

I'm with Alex: I can imagine a mountain made of pure gold without that mountain existing, even a little bit. But it may well be that my act of imagination entails that there must exist something else, namely that cause of that act.

Surprsingly perhaps, Descartes used this line of thought for one of his arguments for the existence of God. He had an idea of God, and he took that the idea must have a cause, and that the only possible cause in this case is God Himself. Why? Because a cause must have at least as much 'reality' as its effect, and only God has as much reality as the idea of God. Not, it must be said, a very convincing argument to modern eyes: why can't 'big' ideas have small causes?