In a saucepan over medium-low heat, put in cocoa and sweetened condensed milk. Whisk until combined, cooking over low heat and whisking constantly until slightly thickened and cocoa is dissolved. (about 5 minutes) Remove from heat.
Pour the mixture in a mixing bowl. Add the heavy cream, half and half, and vanilla. Beat on medium-low with an electric mixer.
Pour the mixture into a large heat-proof bowl or pot. Place the bowl into a SMALLER pot of boiling water on the stovetop. (to create a double boiler) The bowl or pot with the ice cream mixture should NOT touch the boiling water.
Heat the mixture to 175°F. Place the the bowl or pot with the hot mixture into a smaller bowl with cold water or ice water to cool it down quickly. (Don't get water in the ice cream mixture.)
Pour the mixture into the ice cream freezer drum and place in refrigerator overnight.
The next day, put the ice cream drum in the maker and follow the machine's instructions.
Once the ice cream maker stops, stir in the chopped pecans and mini marshmallows. Place the ice cream in the freezer.