Add the milk, bay leaf and 1 1/2 cups water to a medium saucepan. Bring to a boil over medium-high heat and season generously with salt, almost to the point of over seasoning. How do you know that you are there? TASTE IT! When the mixture has reached a boil, slowly whisk in the polenta in small sprinkles. Once all of the polenta has been incorporated, reduce the heat to medium and immediately switch over to stirring with a wooden spoon. Cook the polenta for 30 to 40 minutes, adding water to loosen it up if the polenta becomes too thick.
When the polenta is thoroughly cooked¿it should look creamy and not feel gritty on your tongue¿remove it from the heat and stir in the Parmigiano and mascarpone.
Serve immediately, or place a sheet of plastic wrap right on the surface of the polenta to prevent a skin from forming.
To reheat: Add a little water to the polenta and heat over low to medium heat, stirring constantly to prevent burning.