Inner product of scaled Hermite functions I'm attempting to find a closed form expression for
$$\int_{-\infty}^{\infty}e^{-\frac{x^2\left(1+\lambda^2\right)}{2}}H_{n}(x)H_m(\lambda x)dx$$
where $H_n(x)$ are the physicist's hermite polynomials, but haven't had any luck. Anyone know of a way to compute this?

The integral when $n=m$ is
$$
I_{nn} = 2^{2n}\sqrt{2\pi}\left(n!\right)^{2} \frac{\lambda^n}{{\left(\lambda^{2} + 1\right)^{n + \frac{1}{2}}}} {\sum_{k=0}^{\left \lfloor \frac{n}{2} \right \rfloor} \frac{\left(-1\right)^{k} }{2^{4k}  (k!)^{2} \left(n-2k \right)!}}\left(\frac{{\lambda^{2} - 1}}{\lambda}\right)^{2k}.
$$
The integral is zero whenever $n$ and $m$ have opposite parity.
When $n\ge m$, define $s=\frac{n-m}{2}$ (which is guaranteed to be an integer) and the integral becomes
$$
I_{nm}=2^{2m}\sqrt{2\pi}m! n!\frac{\lambda^{m}{\left(1-\lambda^{2} \right)}^{s}   }{{\left(\lambda^{2} + 1\right)}^{m + s + \frac{1}{2}}}{\sum_{l=0}^{\left \lfloor \frac{m}{2} \right \rfloor} \frac{\left(-1\right)^{l} }{2^{4l}  \left(l + s\right)! l! \left(m-2l\right)!}\left(\frac{{\lambda^{2} - 1}}{\lambda}\right)^{2l}}
$$
The general case is
$$
I_{nm}=2^{2m}\sqrt{2\pi}m! n!\frac{\lambda^{\operatorname{min}(n,m)}{\left(1-\lambda^{2} \right)}^{s}}{{\left(\lambda^{2} + 1\right)}^{\operatorname{max}(n,m) + \frac{1}{2}}}{\sum_{l=0}^{\left \lfloor \frac{\operatorname{min}(n,m)}{2} \right \rfloor} \frac{\left(-1\right)^{l} }{2^{4l}  \left(l + s\right)! l! \left(\operatorname{min}(n,m)-2l\right)!}\left(\frac{{\lambda^{2} - 1}}{\lambda}\right)^{2l}}
$$
In order to derive this result, first change to probabilists Hermite polynomials
$$
H_n(x)=2^{\frac{n}{2}}\operatorname{He}_n(\sqrt{2}x)
$$
so the integral becomes
$$
I_{nm} = 2^{\frac{n+m}{2}}\int_{-\infty}^\infty e^{-\frac{x^2}{2}(1+\lambda^2)}\operatorname{He}_n(\sqrt{2}x)\operatorname{He}_m(\lambda\sqrt{2}x)dx.
$$
Change the integration variable in order to recover the probabilists  weighting function $y=x\sqrt{1+\lambda^2}$
$$
I_{nm} = \frac{2^{\frac{n+m}{2}}}{\sqrt{1+\lambda^2}}
\int_{-\infty}^\infty e^{-\frac{y^2}{2}}
\operatorname{He}_n\left(y\sqrt{\frac{2}{1+\lambda^2}}\right)\operatorname{He}_m\left(y\sqrt{\frac{2\lambda^2}{1+\lambda^2}}\right)dy.
$$
Use the scaled Hermite polynomial on both polynomials
$$
\operatorname{He}_n(\gamma x) = n!\sum_{k=0}^{\left \lfloor \frac{n}{2} \right \rfloor}\frac{1}{2^kk!(n-2k)!}\gamma^{n-2k}\left(\gamma^2-1\right)^k H_{n-2k}(x)
$$
leads to a very long expression, from which all three cases ($n=m$, $n\ge m$, $n\le m$) obtain
$$
I_{nm} = \frac{2^{\frac{n+m}{2}}}{\sqrt{1+\lambda^2}}n!m!\sum_{k=0}^{\left\lfloor\frac{n}{2}\right\rfloor}\sum_{l=0}^{\left\lfloor\frac{m}{2}\right\rfloor}\frac{(-1)^k\left(\sqrt{\frac{2}{1+\lambda^2}}\right)^{n-2k+m-2l}\lambda^{m-2l}\left(\frac{\lambda^2-1}{\lambda^2+1}\right)^{k+l}}{2^kk!(n-2k)!2^ll!(m-2l)!}\\
\times\int_{-\infty}^\infty\operatorname{He}_{n-2k}(x)\operatorname{He}_{m-2l}(x)e^{-\frac{x^2}{2}}dx.
$$
Orthogonality will constrain one of the sums -- always choose the sum associated with the maximum of $n,m$.  Take the case $n\ge m$, as previously stated, the parity of $n$ and $m$ has to be the same, otherwise the integrand is odd and the integral vanishes.  Therefore write $n=m+2s$ for $s\in \mathbb{Z}$.  The orthogonality constraint can be written $k=l+s$ and, after algebraic manipulation, the result above obtains.
