For the pastry cream:
Bring the milk and vanilla bean to a boil.

In a bowl, whisk the egg yolks and sugar together, then add the cornstarch.

Pour the hot milk over the egg mixture.

Return everything to low heat and cook, stirring constantly, until thickened, about 5 to 10 minutes.

Remove from heat as soon as it starts to bubble.

For the brioche dough:
In a large bowl, mix the flour, sugar, and salt.

Make a well in the center and add the yeast. Gradually pour in the warm milk, then add the egg and softened butter.

Knead for 5 minutes, then cover the dough with a clean towel and let it rest for 20 to 30 minutes.

Divide the dough into balls about 1 1/2 inches (4 cm) in diameter, roll them out with a rolling pin, and place some pastry cream in the center.

Fold the dough over to enclose the filling and seal the edges well so the pastry cream doesn't leak out.