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Description
All right JayJay it's a little hard to explain in depth, so I made a quick visual aid. I also don't know what your renderer is capable of because my knowledge is mostly maya based, but if anything is similar maybe you can find like nodes.
All right, the top row is showing the Environment Fog options. The first image is a render without the fog node and the next images show progressive fog density as well as fog height settings. In the render settings for maya there is a tab under options that allows you to add the environment fog attribute. There are several types that handle different situations. You can set the fog as either Simple or Physical.

Simple Fog has only a few options to change such as dentisy, color, distance, blending and things like that and is the most efficient and resource light option.

Physical Fog, which I used here opens a whole flood gate of options. Within Physical Fog you have three types to choose from: Uniform, Atmospheric, Volume.
Uniform sets density in equal amounts throughout the scene
Atmospheric (used here) allows you to emulate real world conditions like sky, water, water/fog, water/atmosphere, water/sky and combinations like that. You can still change color, texture, height, density, light scatter, artificial sun position and all those good things with this as well.
Volume fog fills a shape primitive designated by you. One benefit of creating a Volume shape is you get a color ramp node to play with without having to assign a ramp texture to another node.

The second set of images show a Light Fog assigned to a light setup. In the first image I created a Spot Light to just barely light the scene. The next image is the default settings for the Light Fog assigned to the light through the Spot Light attribute editor. The third image is decreased fog density and added dropoff.
You can assign a Light Fog to most light types, but all but point lights are limited to the light's reach. Meaning that there will be a cut off of fog at the end of the light's distance. As you can see the fog emanates from the light source, but it does become a separate entity that you can move, but remember the fog is limited to the light scope and won't be illuminated if taken out of the light influence.
For a scene with a lot of light sources I'd use a Light Fog node assigned to each individual light to reflect that spot, but in an open scene like this one an Environment Fog node works better in my opinion.
If I ever learn more on dynamics and can create some nice dynamic fog with collision and collecting points on objects in the scene I'll be sure to pass along further information.
I hope this helps and allows any kind of similarity in your program of choice.

Description
All right JayJay it's a little hard to explain in depth, so I made a quick visual aid. I also don't know what your renderer is capable of because my knowledge is mostly maya based, but if anything is similar maybe you can find like nodes.
All right, the top row is showing the Environment Fog options. The first image is a render without the fog node and the next images show progressive fog density as well as fog height settings. In the render settings for maya there is a tab under options that allows you to add the environment fog attribute. There are several types that handle different situations. You can set the fog as either Simple or Physical.

Simple Fog has only a few options to change such as dentisy, color, distance, blending and things like that and is the most efficient and resource light option.

Physical Fog, which I used here opens a whole flood gate of options. Within Physical Fog you have three types to choose from: Uniform, Atmospheric, Volume.
Uniform sets density in equal amounts throughout the scene
Atmospheric (used here) allows you to emulate real world conditions like sky, water, water/fog, water/atmosphere, water/sky and combinations like that. You can still change color, texture, height, density, light scatter, artificial sun position and all those good things with this as well.
Volume fog fills a shape primitive designated by you. One benefit of creating a Volume shape is you get a color ramp node to play with without having to assign a ramp texture to another node.

The second set of images show a Light Fog assigned to a light setup. In the first image I created a Spot Light to just barely light the scene. The next image is the default settings for the Light Fog assigned to the light through the Spot Light attribute editor. The third image is decreased fog density and added dropoff.
You can assign a Light Fog to most light types, but all but point lights are limited to the light's reach. Meaning that there will be a cut off of fog at the end of the light's distance. As you can see the fog emanates from the light source, but it does become a separate entity that you can move, but remember the fog is limited to the light scope and won't be illuminated if taken out of the light influence.
For a scene with a lot of light sources I'd use a Light Fog node assigned to each individual light to reflect that spot, but in an open scene like this one an Environment Fog node works better in my opinion.
If I ever learn more on dynamics and can create some nice dynamic fog with collision and collecting points on objects in the scene I'll be sure to pass along further information.
I hope this helps and allows any kind of similarity in your program of choice.