In a large bowl, whisk the egg yolks and sugar together with an electric whisk until pale and creamy. Mix the mascarpone into the egg mixture until well combined.
In a separate bowl, whip the double cream until soft peaks form when the whisk is removed. With a metal spoon, fold the whipped cream into the mascarpone, egg and sugar mixture.
In another very clean bowl, whip the egg whites until soft peaks form when the whisk is removed. Fold lightly into the mascarpone, cream and egg mixture.
Spoon a third of the mascarpone, egg and cream mixture into a large dish of about 23cm x 33cm (9in x 13in).
Mix the espresso and Marsala together in a shallow bowl. Dip half of the biscuits into the espresso and Marsala mixture, then lay them on top of the mascarpone and cream mixture in the dish. (Repeat the soaking and layering individually as you go or the biscuits will become too soggy to handle.)
Spoon over the next third of the mascarpone and cream mixture, followed by another layer of biscuits. Spoon over the final layer of mascarpone and cream. Cover and chill in the fridge for 24 hours.
Dust with cocoa powder before serving.