I spent some time on researching the same since JQM docs are not very detailed at this point. Solution below works fine for me:
<script type="text/javascript">
$('div:jqmData(role="page")').live('pagebeforeshow',function(){
// code to execute on each page change
});
</script>
You have to implement your own checking flow in order to prevent multiple initialization since the code above will run on every page change