Preheat oven to 350 F. Combine the raspberries and sugar in a saucepan. Whisk the cornstarch into the cold water until smooth. Add the cornstarch mixture to the sugared raspberries and bring to a boil.
Simmer for 3-5 minutes, stirring constantly, until it thickens. Set aside until cool. Place puff pastry dough in a pie plate. Cut Brie wheel in half. Spread the desired amount of cooled raspberry sauce on insides of each wheel and sprinkle with chopped walnuts. Put them back together like a sandwich. Place the Brie on the puff pastry and wrap the puff pastry dough around the Brie and seal the edges. Brush the egg white over the puff pastry dough. Bake in preheated oven for 15-20 minutes.