In Illustrator you cannot specify a gradient stop to have transparency as in Photoshop, as far as I know (someone please correct me if I am wrong).
You could achieve this by:
selecting your gradient
copy to clipboard
keep the original item selected
go to the transparency palette flyout menu
choose make opacity mask
click on the icon on the right side of the transpency palette (the mask)
paste in front (CTRL F or CMD F on mac)
You can then edit the gradient you pasted in front, which acts as a transparency mask.