Answer:
The correct answer should be: "The actors in this play try to portray sorrow and to depict an empty world which surprises me".
Explanation:
The correction of the sentence is made according to the unnecessary repetition of subject and action verb in the second clause. It is not necessary to repeat the phrase "they try" after a comma, it is grammatically correct to add one clause to the other by the use of "and", besides erasing the reference pronoun ("they") and the same verb ("try") used.