In this paper, we introduce a moment closure which is intended to provide a macroscopic approximation of the evolution of a particle distribution function, solution of a kinetic equation. This closure is of non local type in the sense that it involves convolution or pseudo-differential operators. We show it is consistent with the diffusion limit and we propose numerical approximations to treat the non local terms. We illustrate how this approach can be incorporated in complex models involving a coupling with hydrodynamic equations, by treating examples arising in radiative transfer. We pay a specific attention to the conservation of the total energy by the numerical scheme.
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