Any tutorials or example programs on implementing this kind of lighting?

OpenGL OpenGL: Basic Coding
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Thanks you very much.

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These are underwhater caustics, in the picture you can see rays…

OpenGl doesn’t anything similar, you need to write you implementation for them, much depends on which results you need, for photorealism I think you should consider doing a software renderer, for realtime there are a lot of ways, from 3d textures to volumetric fog.
Now you has the starting point, Google will do the rest