In a large bowl, combine warm milk, yeast, and sugar. Let sit until frothy, about 5-10 minutes.

Add flour, butter, eggs, and salt to the yeast mixture. Mix until a dough forms.

Knead the dough on a floured surface until smooth, about 5-10 minutes.

Place the dough in a greased bowl, cover, and let rise in a warm place until doubled in size, about 1-2 hours.

Once the dough has risen, roll it out to about 1/2 inch thick. Cut into circles.

Let the circles sit and rise for about 30 minutes.

Heat oil in a large, heavy pot to 350°F (175°C).

Fry donuts in batches until golden brown, about 3-4 minutes per side.

Remove from oil and place on paper towels to drain.

In a saucepan, whisk egg yolks, sugar, and cornstarch together.

Slowly add milk and cook over medium heat, stirring constantly until thickened.

Remove from heat and stir in vanilla. Allow to cool.

Once cooled, fold in whipped cream to create a light, fluffy filling.

Using a piping bag or a zip bag with a corner cut off, fill each donut with the Bavarian cream.

Dust with powdered sugar before serving.