Add grits to water, heavy cream and chicken broth. Bring to a boil, stirring often. Add butter and simmer on low until grits are done (1/2 to 1 1/2 hours). Add cheese and hot sauce. Saute shrimp in olive oil and Old Bay and pour on top.
Oven Method - Put grits in a steam pan. Add water, butter and chicken stock. Place in 350 degree oven, uncovered, for 40 minutes. Take out and mash any lumps with a spoon. Add cheese and heavy cream. Add sea salt and hot sauce to taste.