Applying style to a part of a single caption is not out-of-the-box possible. I would consider using multiple text widgets, with styling per widget.
If you want to implement your custom style in any part of your application,
you might wanna see this doc,
Hope it helps !
yes indeed, like Rishabh mentioned, you can do your custom style, put it in the class and use that class. Also you can add your own style just for that specific caption, like I did in the example below. E.g. background-color: red. But also depends which Mx Version are you using, this is for 7.23.
For 9.18 you can do some more styling from the properties, but also styling.
I hope this will help you.