I made a game that used a light function to put caustics at the bottom of an ocean. I used the free program Substance Player from Allegorithmic and their free Caustics Substance to generate a few hundred still images in a looping sequence. Then I batched the images into a single video using Rad Video Tools, the free .bik encoding program. Imported that .bik file into UE3 as a texture movie, and created a material for a caustics light source.
However, if you just want this effect at the bottom of a pool where the water won’t drain out, you can fake it by plugging the caustics movie texture into the pool’s emissive channel in the material, using the world position node to planar map the caustics from the top down, and create a mask to cut off the light above the water and any shadowed areas you might have. It will probably run much faster in-game than a light function, too.