Make the Bavarian Cream by combining milk, sugar, and cornstarch in a saucepan over medium heat, stirring constantly until thickened, then mix in vanilla extract and egg yolks and cool.

Prepare the Donut Dough by dissolving active dry yeast in warm milk, stir in sugar, let sit, then whisk in eggs, melted butter, and salt, and mix in flour until a dough forms.

Let the dough rise in a greased bowl covered with a damp cloth in a warm area for about 1 hour until it doubles in size.

Shape and cut the donuts by rolling out the risen dough to about ½-inch thickness and using a donut cutter to form shapes.

Fry the donuts by heating oil to 350°F, lowering each donut into the oil, and frying for 2-3 minutes on each side until golden brown.

Cool the fried donuts slightly and fill them with the Bavarian cream using a piping bag fitted with a narrow tip.