For the marshmallows: Line a 13 by 9 by 2-inch baking pan (33 by 23 by 5 centimeters) with plastic wrap and lightly brush with the oil.
If using gelatin sheets, soak them in 2/3 cup (80ml) cold water in a shallow pan for 10 minutes. If using powdered gelatin, let bloom powdered gelatin in the 2/3 cup cold water. Then add the bloomed gelatin to the warmed up espresso and sugar mixture.
Warm up the espresso with the granulated sugar and vanilla in a saucepan over medium heat. Add the gelatin sheets and the soaking water and heat until the gelatin and sugar dissolve, about 2 minutes, stirring often.
Using a hand mixer, beat the gelatin mixture until it resembles a soft meringue, about 5 minutes. Pour into the lined pan and let stand at room temperature for about 1 hour.
Combine the confectioners' sugar and cornstarch, and sprinkle some onto a large cutting board. Invert the marshmallow onto the board. Peel off the plastic wrap and dust the top of the marshmallow with the cornstarch mixture. Cut the marshmallow into squares using a sharp knife. Dip the cut sides of the marshmallows in the cornstarch mixture and shake off the excess. (Serve immediately or store the marshmallows in an airtight container at room temperature for up to 2 weeks.)
For the hot chocolate: Heat the milk, cream, espresso and confectioners' sugar in a saucepan over medium-high heat, whisking to dissolve the sugar. Add the chocolate and whisk until smooth. Pour into mugs and garnish with marshmallows.