Sample example of box in latex

One option using the features provided by tcolorbox:

\documentclass{article}
\usepackage[svgnames]{xcolor}
\usepackage[most]{tcolorbox}
\usetikzlibrary{shadows}

\newcounter{exa}

\tcbset{
myexample/.style={
  enhanced,
  colback=yellow!10!white,
  colframe=red!50!black,
  fonttitle=\scshape,
  titlerule=0pt,
  title={\refstepcounter{exa}example~\theexa.},
  title style={fill=yellow!10!white},
  coltitle=red!50!black,
  drop shadow,
  highlight math style={reset,colback=LightBlue!50!white,colframe=Navy}
  }
}

\newtcolorbox{texample}{myexample}

\begin{document}

\begin{texample}
\centering
\tcbhighmath{\textrm{d}X_{t}=b(t,X_{t})+\sigma (t,X_{t}) \textrm{d}W_{t}}\quad
\begin{tabular}{|c|c|}
\hline
\textcolor{red!70!black}{W} & \textcolor{Navy}{C} \\
\hline
$+$ & $-$ \\
\hline
\end{tabular}
\end{texample}

\end{document}

Here's now an option using mdframed and hf-tikz:

\documentclass{article}
\usepackage[svgnames]{xcolor}
\usepackage[framemethod=tikz]{mdframed}
\usepackage[customcolors]{hf-tikz}
\usetikzlibrary{shadows}

\newcounter{exa}

\newmdenv[
settings={\refstepcounter{exa}},
linewidth=1pt,
innertopmargin=1.5\baselineskip,
roundcorner=6pt,
backgroundcolor=yellow!10,
linecolor=red!70!black,
frametitle=example~\theexa,
frametitlefont=\scshape\color{red!70!black},
shadow=true
]{mdexample}

\begin{document}

\begin{mdexample}
\centering
\hfsetfillcolor{LightBlue!50}
\hfsetbordercolor{Navy}
\tikzmarkin{a}(0.3,0.6)(-0.3,-0.4)$\textrm{d}X_{t}=b(t,X_{t})+\sigma (t,X_{t}) \textrm{d}W_{t}$\tikzmarkend{a}\qquad
\begin{tabular}{|c|c|}
\hline
\textcolor{red!70!black}{W} & \textcolor{Navy}{C} \\
\hline
$+$ & $-$ \\
\hline
\end{tabular}
\end{mdexample}

 \end{document}

Here's the start of something that will create what you're looking for:

\documentclass{article}
\usepackage{xcolor}
\usepackage{fancybox}
\pagestyle{empty}
\begin{document}

\noindent
\shadowbox{%
\begin{minipage}{\dimexpr\textwidth-\shadowsize-2\fboxrule-2\fboxsep}
   \textcolor{red}{\sffamily EXAMPLE 3.}\par\vspace{\baselineskip}

    \hspace*{\fill}
    %--------------------------%
    \setlength{\shadowsize}{2pt}
    \parbox{2in}{\shadowbox{$\displaystyle  dX_t = - \frac{1}{2X_t}I(X_t\not=)dt+dW_t$}}
    %--------------------------%
    \hspace*{\fill}
    %--------------------------%
    {\sffamily
    \begin{tabular}{|c|c|}\hline
     \textcolor{red}{W} & \textcolor{blue}{S} \\\hline
     $-$                & $-$                 \\\hline
    \end{tabular}}
    %-------------------------%
    \hspace*{\fill}\par\vspace{1ex}

\end{minipage}}

\end{document}

UPDATE

If you want to color the box, I would recommend you look at the examples using mdframed given by @GonzaloMedina --- I'm not all that familiar with this package. You might also consider looking at the package tcolorbox (also illustrated by GonzaloMedina), but it also seems to rely on the tikz bundle of packages and libraries.