Since, for [itex]\lambda> 0[/itex], that is not bounded as x goes to infinity, and, if [itex]\lambda= 0[/itex], that is just [itex]\int_{-\infty}^{\infty} dx[/itex], neither of those exists.
If, however, [itex]\lambda[/itex] is negative, It is well known that the integral is
[itex]\sqrt{\pi/|\lambda |}[/itex].