Using a chilled mixing bowl, beat cold mascarpone cheese, cold heavy cream, powdered sugar, and vanilla extract on a slow speed initially for 1 minute. Once everything is incorporated, increase to medium-high speed for 2 minutes.
For smooth slices of cheesecake, dip a knife's blade into hot water and clean with a towel between cuts. Cleaning the knife will prevent crumbs from sticking to the sides of the cheesecake.