Prepare the marinade by combining olive oil, sliced onion, carrot, celery, thyme, sage, bay leaf, allspice berries, and peppercorns in a saucepan. Cook until vegetables soften, then let cool.

Season the filets with salt, place in a ziplock bag, and add the marinade, vermouth, and cognac. Marinate in the refrigerator for 2-3 hours.

After marinating, pat the filets dry and sear quickly in a hot pan with oil until browned outside but rare inside.

Make the mushroom duxelles by mincing mushrooms in a food processor until fine. Squeeze out the juices and reserve for sauce.

Sauté the minced mushrooms with shallots in butter until dry, then add Madeira wine and let evaporate. Stir in pâté or foie gras.

Roll out puff pastry sheets and cut to size for each filet. On each pastry piece, layer a slice of prosciutto, spoon mushroom mixture, place a filet, top with more mushrooms, and wrap in pastry, sealing edges. Decorate if desired.

Chill the assembled Wellingtons for at least 30 minutes.

Brush with egg wash and bake at 375°F for 25 minutes until golden brown.

Meanwhile, make the sauce by simmering the reserved marinade, mushroom juices, beef broth, and tomato paste until reduced. Thicken with cornstarch mixed with Madeira wine.

Serve the Wellingtons with the Madeira sauce.