Set aside 3 whites from the eggs. Beat the yolks with 1 yolk and 6 tbsp sugar in a water bath on the stove until you get a fluffy and light cream.
Separately, beat the whites with a pinch of salt. Once they begin to rise and whiten, start adding the rest of the sugar.
Pour the mascarpone in a bowl, pour on the cooled egg cream and stir until homogeneous. Add the egg whites and carefully stir with a spatula.
Combine the espresso with the cognac or Marsala wine. Dip the biscotti in it and crumble them. In glasses, alternate between biscotti that you've soaked in the coffee mixture and the cream, all the way to the top.