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Since you don't have an oven, how about SOUP?
Assuming your marrow bones are already cut into about 3" pieces, cover them in water in a big pot or slow cooker. Maybe throw in a Bay Leaf or two, a little bit of vinegar, and simmer for several hours (longer is better). Take the Bay Leaves out. Cut up some onions, carrots, celery- pretty much whatever you like and throw them in the pot, add pepper and whatever other herbs you like (maybe a splash of red wine?), and simmer until veggies are tender. Serve a couple of bones with each bowl of soup and go at it ;-)
I made a wicked batch of Lamb Bone soup this way yesterday...it's SO good!
If they are cut into manageable size pieces than you could also do them in a dutch oven (you just need 2 saucepans).
Put a saucepan with a lid on, into a bigger saucepan with water in it and put the lot on a stove. You have to keep an eye on the water level in the bigger pot (so it doesn't run dry), but it works kind of like an oven in the smaller pot. The 'oven' temp won't get extremely hot though.
Some chefs recommend soaking the marrow bones (cut 2-3 inches in length) in cold water, changed several times, for 12-24 hours. This process makes the marrow turn a pale creamy pink color instead of grey
After the soaking you can cover the bones with cold water, bring slowly to a boil and barely simmer for about 20 minutes.