In a medium saucepan over medium heat, whisk together whole milk, egg yolks, granulated sugar, cornstarch, and vanilla extract until smooth. Stir constantly for 8-10 minutes, until thickened.

Remove from heat and allow the custard to cool slightly.

Add softened mascarpone cheese to the custard, mixing until smooth. Allow to cool to room temperature.

In a separate bowl, whip the heavy cream until soft peaks form, then gently fold it into the mascarpone custard mixture.

In a 9-inch dish, layer flat cookies and custard mixture repeatedly, finishing with cookies on top.

Cover and refrigerate for 4-6 hours, preferably overnight, to allow it to set.

Dust with powdered sugar before serving and slice cleanly to reveal layers.