Working example: http://jsfiddle.net/Gajotres/Qm3wb/
Attribute: data-collapsed="false"
Official documentation : http://api.jquerymobile.com/collapsible/#option-collapsed
<div data-role="collapsible-set">
<div data-role="collapsible" data-theme="c" data-content-theme="b" data-collapsed="false">
<h3>Title 1</h3>
<div>Text 1 inside here</div>
</div>
<div data-role="collapsible" data-theme="c" data-content-theme="b">
<h3>Title 2</h3>
<div>Text 2 is here</div>
</div>
<div data-role="collapsible" data-theme="c" data-content-theme="b">
<h3>Title 3</h3>
<div>Text 3 inside this div</div>
</div>
</div>