let's do some approximations...
Recall Euler's equation says that [tex]e^{\pm i\alpha}=\cos \alpha \pm i \sin \alpha[/tex] and hence our integrand becomes
[tex]e^{-x^2 \pm \frac{i}{x}} = e^{-x^2}e^{\pm \frac{i}{x}} = e^{-x^2} \left[ \cos \left( \frac{1}{x}\right) \pm i \sin \left( \frac{1}{x}\right) \right][/tex]
so that the integral becomes
[tex]\int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx = \int_{0}^{\infty}e^{-x^2} \cos \left( \frac{1}{x}\right) \pm i \int_{0}^{\infty}e^{-x^2} \sin \left( \frac{1}{x}\right) dx[/tex]
since [tex]-1\leq \cos \left( \frac{1}{x}\right) \leq 1[/tex] is true for all x, and hence [tex]0\leq \left| \cos \left( \frac{1}{x}\right) \right| \leq 1[/tex] then multiplying by [tex]e^{-x^2}[/tex] gives
[tex]0\leq \left| e^{-x^2} \cos \left( \frac{1}{x}\right) \right| \leq e^{-x^2}[/tex]
and similarly for the sine term we have
[tex]0\leq \left| e^{-x^2} \sin \left( \frac{1}{x}\right) \right| \leq e^{-x^2}[/tex]
now to prove convergence of the integral, note that it is convergent if its real and imaginary components are convergent,
[tex]\left| \int_{0}^{\infty}\Re {e^{-x^2\pm \frac{i}{x}}}dx \right| = \left| {\int_{0}^{\infty}e^{-x^2} \cos \left( \frac{1}{x}\right) dx} \right| \leq \int_{0}^{\infty}\left| e^{-x^2} \cos \left( \frac{1}{x}\right) \right| dx \leq \int_{0}^{\infty}e^{-x^2} dx = \frac{\sqrt{\pi}}{2}[/tex]
which proves that the real component is absolutely convergent (and hence convergent). By similar reasoning, the imaginary part is also [tex]\leq \frac{\sqrt{\pi}}{2} .[/tex] Now
[tex]\left| \int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx \right| \leq \int_{0}^{\infty}\left| e^{-x^2\pm \frac{i}{x}}\right| dx = \int_{0}^{\infty}\left| e^{-x^2}\cos \left( \frac{1}{x}\right) \pm i e^{-x^2}\sin \left( \frac{1}{x}\right) \right| dx[/tex]
[tex]\leq \int_{0}^{\infty} \left| e^{-x^2}\cos \left( \frac{1}{x}\right) \right| dx + \int_{0}^{\infty}\left| e^{-x^2}\sin \left( \frac{1}{x}\right) \right| dx \leq \frac{\sqrt{\pi}}{2} + \frac{\sqrt{\pi}}{2} = \sqrt{\pi}[/tex]
where the triangle rule was used to obtain the second inequality, the given integral, namely [tex]\int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx,[/tex] has been shown to be absolutely convergent; also, we have the upper bound of [tex]\sqrt{\pi}[/tex] for its magnitude, that is
[tex]\left| \int_{0}^{\infty}e^{-x^2\pm \frac{i}{x}}dx \right| \leq \sqrt{\pi}[/tex]
which is a nice consequence of our approach.