Participating media are ubiquitous in nature and are also major elements in many rendering applications such as special effects, digital games, and simulation systems. Physically-based simulation and reproduction of their appearance can significantly boost the realism and immersion of 3D virtual scenes. However, both the underlying structures of participating media and the light propagation in them are very complex. Therefore, rendering with participating media is a difficult task and hot topic in computer graphics so far. In order to facilitate the treatment in rendering and lower the computational cost, classical methods for participating media rendering are always based on two assumptions:independent scattering and local continuity. These two assumptions are also the building blocks of classical Radiative Transfer Equation (RTE). However, most participating media in nature do not satisfy these two assumptions. This results in the noticeable discrepancy between rendered images and real images. In recent years, these two assumptions have been relaxed by incorporating more physically accurate methods to model participating media, thus significantly improving the physical realism of participating media rendering. This survey analyzes and discusses exisiting non-classical participating media rendering techniques from two aspects:correlated media rendering and discrete media rendering. We foucs on discussing the differences between classical and non-classical participating media rendering. We also describe the principles, advantages and limitations behind each method. Finally, we provide some future directions around non-classical participating media rendering that are worth delving into. We hope this suvery can inspire researchers to study non-classical participating media rendering by addressing some critical issues. We also hope this suvery can be a guidance for engineers from industy to improve their renderers by considering non-classical participating media rendering.