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In a Jupyter notebook worksheet running the Sage kernel, just like in a Sage notebook worksheet, you can use markdown cells in addition to compute cells.

In markdown cells, you can freely type text, with latex formulas using $...$, italics using *...* and bold using **...**.

The Jupyter notebook worksheets can be saved as .ipynb files.

The Sage notebook worksheets can be saved as .sws files.

Note that on SageMathCloud at https://cloud.sagemath.com/ you can also use SageMathCloud Sage worksheets, and those also have an option to have markdown blocks by using %md at the beginning of a code block.

SageMathCloud Sage worksheets can be saved as .sagews files.