Try this:
$('ul').append($('<li/>', { //here appending `<li>`
'data-role': "list-divider"
}).append($('<a/>', { //here appending `<a>` into `<li>`
'href': "https://stackoverflow.com/questions/5925810/test.html",
'data-transition': 'slide',
'text': 'hello'
})));
$('ul').listview('refresh');