Materials using the Volume domain describe Albedo, Emissive, and Extinction for a given point in space. Albedo is in the range [0-1], while Emissive and Extinction are world space densities with
any value greater than 0.
This is an example of the simplest Volume Material for a Particle System.
Volume materials can be applied to a Static Mesh and will use its bounding box for representation, meaning that the particle will not align to any shape of geometry. For the material to work with a Static Mesh, it must have a bounding box and any positions inside of it will be valid.
Placing a single Particle System with the material causes a sphere of density to be added to the Volumetric Fog. The effect is fully three dimensional (3D) with no billboards involved.
Taking this approach a step further, you could use multiple spherical fog particles with noise from textures to limit fog to a certain area of your scene.
In this scene, the fog particles have populated these low-lying areas to create a localized fog effect that is shadowed using Voluemtric Fog.