Here are two versions: empheq and tcolorbox
\documentclass{article}
\usepackage{mathtools}
\usepackage{empheq}
\usepackage[most]{tcolorbox}
\begin{document}
%\begin{eqnarray*}
%&&P(X_{n+1} = i_{n+1}\mid
%X_{0}=i_{0}, X_{1}=i_{1},\ldots,X_{n-1}=i_{n-1},X_{n}=i_{n}) \\
%&&=P(X_{n+1}=i_{n+1}\mid X_{n}=i_{n}).
%\end{eqnarray*}
\begin{empheq}[box=\fbox]{align*}
&P(X_{n+1} = i_{n+1}\mid X_{0}=i_{0}, X_{1}=i_{1},\dots,X_{n-1}=i_{n-1},X_{n}=i_{n}) \\
={}&P(X_{n+1}=i_{n+1}\mid X_{n}=i_{n})
\end{empheq}
\begin{tcolorbox}[ams align*,colback=white!40!yellow]
&P(X_{n+1} = i_{n+1}\mid X_{0}=i_{0}, X_{1}=i_{1},\dots,X_{n-1}=i_{n-1},X_{n}=i_{n}) \\
={}&P(X_{n+1}=i_{n+1}\mid X_{n}=i_{n})
\end{tcolorbox}
\end{document}

eqnarrayis 'outdated' -- rather usealignoralignat(or the starred variants) – Dec 06 '15 at 10:32