In a saucepan, bring milk, cream, and vanilla to a boil. Remove from heat and cover. Let steep 10 minutes.
In another saucepan, off the heat, whisk together sugar and corn starch. Add egg yolks and whisk until smooth. Add hot milk mixture.
Bring to a boil over medium heat, whisking constantly and scraping bottom and sides of saucepan until pudding thickens. Pass through a sieve into a bowl. Cover surface of pudding with plastic film to prevent a crust from forming. Let cool. Refrigerate four hours or until pudding has fully cooled.
In a small saucepan, bring brown sugar and water to a boil. Add pecans and stir constantly with a wooden spoon until sugar turns granular and coats pecans.
Spread on parchment paper and let cool completely. Break into pieces.
Pour vanilla pudding into dessert cups. Top with pecans and cookie pieces.
Thread 5 miniature marshmallows onto small skewers. Brown marshmallows with a kitchen torch. Place on cookies.