How were Eldar in Valinor named?

They had two given names ('essi'), one bestowed at birth by the father, the other later by the mother:

... and these mother-names had great significance, for the mothers of the Eldar had insight into the characters and abilities of their children, and many also had the gift of prophetic foresight. In addition, any of the Eldar might acquire epesse ('after-name'), not necessarily given by their own kin, a nickname -- mostly given as a title of admiration or honour; and an epesse might become the name generally used and recognised in later song and history (as was the case, for instance, with Ereinion, always known by his epesse Gil-galad). [UT, 266]
On why 'Ereinion' ('Scion of Kings' (UT, 436)) was given this epesse:
It is recorded that Ereinion was given the name Gil-galad 'Star of Radiance' 'because his helm and mail, and his shield overlaid with silver and set with a device of white stars, shone from afar like a star in sunlight or moonlight, and could be seen by Elvish eyes at a great distance if he stood upon a height'. [UT, 217]
[ Gil-galad's "device of white stars" is shown in entry 47 of Pictures.]

The other epesse most familiar to readers of LotR was 'Galadriel', whose father-name was 'Artanis' ('noble woman') and mother-name 'Nerwen' ('man-maiden') (UT 229, 231). As for 'Galadriel', which was the Sindarin form of 'Altariel' (Quenya) and 'Alatariel' (Telerin) (UT, 266):

In the High-elven speech her name was Al(a)tariel, derived from alata 'radiance' (Sindarin galad) and riel 'garlanded maiden' (from a root rig- 'twine, wreathe'): the whole meaning 'maiden crowned with a radiant garland', referring to her hair. [Silm, 360]
UT, 217, 229, 231, 266 (all Two, II), 436 (Index);
Silm, 360 (Appendix, root -kal);
Pictures, entry 47.
Contributors: WDBL, Paul Adams
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Last modified: Sat Aug 19 19:52:25 1995