While the steaks are coming to room temperature measure out the sauce ingredients.
Melt the butter in a cast iron skillet preferably large enough to hold all 4 steaks.
Increase heat to high. Add the steak to the pan and cook about 3 minutes per side until desired internal temperature. Time will vary with desired doneness, thickness of the steak and your heat setting. . See Note 1 below for target temperatures.
Transfer steaks to a platter and cover. Melt the butter for the sauce in the skillet over medium high heat. Add the shallots and cook until they soften - about 5 minutes. Add the mushrooms and cook another 3-5 minutes until they start to have some colour. Add the garlic and cook 1 minute more.
Remove the pan from the burner and add the Cognac. Ignite the Cognac with a long match or BBQ lighter. Shake pan gently to help quell the flames. Once the flames subside return pan to the burner and allow juices to reduce by half. Add the Dijon, Worcestershire, cream and any juices released from the resting steaks.
Let the sauce simmer several minutes to thicken. Return the steaks to the pan for a couple of minutes to allow them to heat through.
Serve immediately with sauce drizzled over the steaks.