Depends what you mean by 'recover' the caption. In the example you gave of course it is only a few words and so would probably be easier to re-type it than use OCR.
However, I guess you want to re-create the appearance as well as the text itself, ie. the font information. It is not possible to get the font information from a jpeg. You can do one of two things:
You could trace the text (Illustrator would be the better tool) to create a scalable vector file. This would be quite troublesome to do well and the text would still not be editable, just scalable.
You could find out what font was used to create the text, install the font if you don't have it, and re-create it from scratch. You can try this link to try to find out which font was used:
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http://www.identifont.com/>