On the approximation properties of Stieltjes polynomials

We introduce and study the approximation properties of $g$-polynomials, defined as linear combinations of iterated Stieltjes integrals of a constant function. Focusing on the case where the derivator $g$ has finitely many discontinuities, we prove that the space of $g$-polynomials is dense in the space of uniformly $g$-continuous functions. This result establishes a Weierstrass-type approximation theorem within the framework of Stieltjes calculus. The characterization of the closure of the space of $g$-polynomials in the general case, where the derivator may exhibit more complex behavior, remains an open and challenging problem, which we briefly discuss.