In a medium bowl: Combine sugar, egg yolks and vanilla extract. Beat for 3-5 minutes or until smooth.
Continue to mix as you add small amounts (~1tbsp) of hot milk to the beaten eggs. Mix well between increments and continue until all milk has been slowly added to the egg mixture. (If too much hot milk is added in a single increment, the eggs will form undesirable clumps) Watch video for reference and exercise patience.
In a separate bowl: gently spread the mascarpone cheese until it softens.
Slowly add the egg mixture to the soft mascarpone cheese. Mix/stir until smooth and creamy with no lumps to form the custard. Set aside until ready for use.
In a separate large bowl or kitchen-aid mixer: Pour the heavy whipping cream in and whip for 7-10 minutes until stiff peaks begin to form.
Slowly add the whipped cream to the custard as you continuously fold them together until consistent and smooth.