The recommended way to change the plus and minus icons of the collapsible sets (accordion) in jQuery Mobile is to specify data-expanded-icon and data-collapsed-icon attribute to the div. But sometimes it does not change the icons. In such cases we can change it manually by overriding the .ui-icon-plus and .ui-icon-minus classes giving the background-position for the down and up arrows. Add a class eg-accordion to the div with data-role="collapsible-set" and see the below CSS overrides.

.eg-accordion .ui-icon-plus {
    background-position: -216px 50%;  /* override the '+' with down arrow */
}
.eg-accordion .ui-icon-minus {
    background-position: -180px 50%;  /* override the '-' with up arrow */
}