Crush the fennel, pepper and salt in a mortar and mix with the corn grits.
Bring the stock and milk to the boil. Add the semolina mixture while stirring with the whisk. Let the polenta soak over a mild heat for 10-15 minutes while stirring frequently with a wooden spoon.
Stir in the cheese. Put the polenta on a plate and smooth it out a little. Let cool down completely. Cut the polenta into pieces and fry in a pan in hot oil until golden brown.