 Solution

Fix $0<c<1$ and choose $R_c$, independently of $X$, with the normal distributionThe linear combination of independent normal random variables $cX+R_c$ is normal. Its expected value is $c\mu +(1-c)\mu =\mu$ and its variance is $c^2{\sigma }^2+(1-c^2){\sigma }^2={\sigma }^2$. Hence $cX+R_c\stackrel{d}{=}X$ for every $c$, proving that every specified normal distribution is a self-decomposable distribution.