Add documentation for persistent session creation & disposal

[kornicameister]

What do these changes do?

Add documentation about how to create and destroy persistent session.

Are there changes in behavior for the user?

Not in terms of functionality. Users will be able to find out how to create persistent session, though.

Related issue number

Closes #3658

Checklist

• I think the code is well written
• Unit tests for the changes exist
• Documentation reflects the changes
• If you provide code modification, please add yourself to CONTRIBUTORS.txt
  • The format is <Name> <Surname>.
  • Please keep alphabetical order, the file is sorted by names.
• Add a new news fragment into the CHANGES folder
  • name it <issue_id>.<type> for example (588.bugfix)
  • if you don't have an issue_id change it to the pr id after creating the pr
  • ensure type is one of the following:
    • .feature: Signifying a new feature.
    • .bugfix: Signifying a bug fix.
    • .doc: Signifying a documentation improvement.
    • .removal: Signifying a deprecation or removal of public API.
    • .misc: A ticket has been closed, but it is not of interest to users.
  • Make sure to use full sentences with correct case and punctuation, for example: "Fix issue with non-ascii contents in doctest text files."

[codecov-io]

Codecov Report

Merging #3703 into master will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##           master    #3703   +/-   ##
=======================================
  Coverage   97.88%   97.88%           
=======================================
  Files          43       43           
  Lines        8559     8559           
  Branches     1377     1377           
=======================================
  Hits         8378     8378           
  Misses         75       75           
  Partials      106      106

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[asvetlov]

Thanks!