You can use Volume Primitives in
conjunction with lights and Volume Fog to produce
foggy atmospheric volume effects. For information on Volume
Fog, see
Volume Fog.
TipWhen rendering shadow
maps with volumes (with mental ray),
increase the volume samples settings on the volume shape. Also try
turning on depth jittering and tuning up mental ray shadow map settings,
such as Softness and Samples, on
light sources.