Make the cheesecake layer by combining the cream cheese, sugar, egg and vanilla. Pour this over the brownie batter.
Now that the pecan layer has cooled a little, pour this over the cheesecake layer.
Bake for 33-36 minutes. The cheesecake may look a little wobbly in the center but that is fine - if the whole thing is still wobbly, let it bake a few more minutes. Let cool before slicing and serving.