Normally, research stations can be built in any objects in a star system. However, to ensure cost-effectiveness, most of the time they are built in normal objects such as nearby terrestrial planets or moon, or nearby star systems (e.g. Proxima). Nevertheless, commercial research stations tend to launch peculiar missions to research, build research stations, and terraform nonstandard star systems and/or objects.
Background[]
Due to increasing demand of accuracy in astronomy in the 22nd century, a lot of researchers try and terraform objects within unique stellar systems. This includes terraforming planets in giant (class III) stars, white dwarfs, brown dwarf, stars inside nebulae, dwarf planets, etc.
SpaceX is the purveyor of this seemingly odd concept. Its first terraforming mission was to terraform Ceres, something other space organizations don't do due to high cost of manufacturing gravity control devices that allow high increase in gravity acceleration (Ceres has very low gravitational acceleration).
As time passes, universities from various regions try and do the same thing. It is understandable because usually the idea is started by a student, and they gain support.