Well using z-depth is indeed a good solution in postpro but I wanted something working at render time. A massive cube with a scattering material and volumetric would probably give the more reatistic result (I already used it with other render engines) but it whould take ages to render.
So as some as guess this tricky solution is based on several planes in front of the camera with a distance of about 4m between each of them, playing with the opacity you could control the fog fx. As the planes are not parralel to the camera you can see one of them in the left part as icelaglace mentioned it.
Well this is indeed very tricky but really fast, this image was rendered in about 15 min with DL in 1600px.
More to come ...