I know the saints see our prayers ascending as incense (Rev 8:4), that they observe the glory of God and are close to his holy presence. Where does the belief come from that they hear us? Or that they can make individual intersession for us? How do we know they do not do this collectively on behalf of all believers rather than on a case by case basis.

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A good deal of the Orthodox theology of saints is expressed during the services for the first Sunday of Great Lent - called the Sunday of the Triumph Orthodoxy (it commemorates the anathemas declared in the Ecumenical Councils against the Iconoclasts). The Epistle reading for that particular day comes from Hebrews (11:24-26,32-12:2), which goes toward answering your question, "Where does the belief come from that they hear us?"

And all these, having obtained a good testimony through faith, did not receive the promise, God having provided something better for us, that they should not be made perfect apart from us. Therefore we also, since we are surrounded by so great a cloud of witnesses, let us lay aside every weight, and the sin which so easily ensnares us, and let us run with endurance the race that is set before us

I am not sure there is a belief within Eastern Orthodoxy that the saints "make individual intersession for us" in the sense you might be thinking. As Romanian Elder Cleopa wrote:

No one except Christ is able to intercede before the Father since only He presents Himself as a sacrifice for the salvation of the world. Accordingly, no one except for Christ is able to save man from sin.1

This does not mean, however, that the saints - as well as people we know on earth - cannot pray for our salvation. This is the only sense in which saints are understood to "intercede" for us. Again, from Elder Cleopa:

In honoring the saints we don't put them in the place of Christ, or even adjacent to Him. When the saints pray for us, it is precisely our salvation that they seek from Christ. They intercede with Him for our salvation. From Christ they entreat our salvation. This is what we mean when we say they intercede for us.

Regarding how we know that saints are not acting on our personal behalf at times and not on behalf of all "believers" in general, I don't think there is a very rigorous theological answer here.

First, when saints pray for people collectively, we believe that they are praying for all men, and not just "believers" - since God desires that all men be saved and not just believers (1 Tim 2:4), and since saints are saints by virtue of their wills being aligned with God's.

As far as how we know that saints often act on behalf of specific persons, the witness here is two millennia of synaxaria describing the lives of the saints - the Church's documentation of some of the greater things that have been done (John 14:12) since the time of the Apostles. For some modern accounts, you might pick up a copy of Everyday Saints, a best-seller in Russia (in general, not just in religious books), recently translated into English. Another good sampling can be found in the account of the life of Arseny Streltzof, a Communist intellectual who became an Orthodox priest. A good book here would be Father Arseny: Priest, Prisoner, Spiritual Father.

1. The Truth of Our Faith (3rd ed.), Vol. I (Uncut Mountain Press, 2007), p.68
2. Ibid.

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