So here's my attempt at the algebra to find the normalizing constant:
$Z_{lambda,alpha} =displaystyleint exp( -lambda(alpha x^2 + (1 - alpha)|x| ) ) dx$
$ = 2 displaystyleint^{0}_{-infty} exp( -lambda(alpha x^2 + (1 - alpha)x ) ) dx$
$ = 2 displaystyleint^{0}_{-infty} exp( -lambda alpha x^2 -lambda (1 - alpha)x) dx$
$ = 2 displaystyleint^{0}_{-infty} exp(-ax^2-bx) dx$
where $a = lambda alpha$ and $b = lambda (1 - alpha)$. From Mathematica I get
$displaystyleint exp(-ax^2-bx) dx = frac{sqrt{pi}}{2 sqrt{a}} exp left( frac{b^2}{4a} right) mbox{erf} left( frac{2ax+b}{2 sqrt{a}} right)$
So continuing
$Z_{lambda,alpha} = left. 2 dfrac{sqrt{pi}}{2 sqrt{a}} exp left( dfrac{b^2}{4a} right) mbox{erf} left( dfrac{2ax+b}{2 sqrt{a}} right) right|^{0}_{-infty}$
$ = left. dfrac{sqrt{pi}}{sqrt{a}} exp left( dfrac{b^2}{4a} right) left( 2Phi left( sqrt{2} dfrac{2ax+b}{2 sqrt{a}} right) - 1 right) right|^{0}_{-infty}$
$ = left. dfrac{sqrt{pi}}{sqrt{a}} exp left( dfrac{b^2}{4a} right) left( 2Phi left( dfrac{2ax+b}{ sqrt{2a}} right) - 1 right) right|^{0}_{-infty}$
$ = left. dfrac{sqrt{pi}}{sqrt{a}} exp left( dfrac{b^2}{4a} right) left( 2Phi left( dfrac{2ax+b}{ sqrt{2a}} right) - 1 right) right|^{0}_{-infty}$
$ = 2 dfrac{sqrt{pi}}{sqrt{a}} exp left( dfrac{b^2}{4a} right) Phi left( dfrac{b}{ sqrt{2a}} right) $
$ = 2 dfrac{sqrt{pi}}{sqrt{alpha lambda}} exp left( dfrac{lambda^2(1-alpha)^2}{4lambda alpha} right) Phi left( dfrac{lambda(1-alpha)}{ sqrt{2lambda alpha}} right) $
$ = 2 dfrac{sqrt{pi}}{sqrt{alpha lambda}} exp left( dfrac{lambda(1-alpha)^2}{4 alpha} right) Phi left( dfrac{sqrt{lambda}(1-alpha)}{ sqrt{2 alpha}} right) $
Am I going wrong somewhere?
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