Melt the butter in a small saucepan over medium heat. Whisk in the heavy cream, cornstarch, vanilla, brown sugar, cinnamon, nutmeg, cloves and salt until smooth.
Add the diced apples and stir to coat. Add the water and cook over medium-low heat for 10–12 minutes, until the apples are fork-tender. Set aside to cool.
Preheat the oven to 205°C.
Roll each sheet of puff pastry on a lightly floured surface into a 35 × 35 cm square. Cut each sheet into 4 equal squares.
On each pastry square, leave the top-right and bottom-left quarters whole. Cut the top-left quarter into 3 horizontal strips and the bottom-right quarter into 3 vertical strips.
Place 1/8 of the apple filling (about 60 ml) on the top-right quarter. Brush the edges of the bottom-left quarter with beaten egg, fold it over the filling and press the edges closed.
Weave the horizontal and vertical strips over the filled pastry to create a lattice. Tuck the ends underneath and secure with a little beaten egg so they don’t come loose while baking.
Brush the pastries with beaten egg and sprinkle with coarse sugar if desired.
Bake for 17–19 minutes at 205°C, until puffed and golden brown.