In a medium sized heated sauté pan, sauté the mushrooms with the shallot and the butter for about five minutes, or until they have softened. Add salt and pepper to taste and allow to cool.
After the mixture has cooled, transfer to a heavy saucepan and add the cream, the cinnamon, clove, and vanilla bean. Mix thoroughly. Bring to a simmer and continue to cook for about 40 minutes, watching closely to prevent from boiling.
Remove the cinnamon stick and puree the mixture.
Cool and add the egg yolks, mixing thoroughly with a whisk. Set aside.
Spray aluminum pudding tins with cooking spray.
In a large bowl, combine the custard, chestnuts, sage, brioche and the white bread.
Spoon the mixture into tins about ¾ of the way to the top.
Bake in a water bath at 300 degrees for about 40 minutes, or until the pudding is set.