Brown chicken breasts in olive oil on both sides, until no longer pink inside. Remove chicken from pan and set aside.
In same pan, saute onion for 4 minutes, until clear and softened.
Add mushrooms and cook until they begin to soften.
Stir in flour to make a roux, adding salt and pepper to thickened mixture.
Slowly add chicken broth and Marsala to roux, stirring constantly and simmer about 3 minutes or until mixture starts to thicken. If you desire a thinner sauce, add more broth.
Place chicken in a 9x13" baking pan. Cover with sauce and top with cheese. Place under broiler to melt and brown cheese.